Ljung-box q-test, Advanced Statistics

Assignment Help:

The Null Hypothesis - H0: There is no autocorrelation

The Alternative Hypothesis - H1: There is at least first order autocorrelation

Rejection Criteria: Reject H0 if LBQ1 >

Autocorrelation Function: RESI1

Lag         ACF          T    LBQ

  1   0.0081553   0.32   0.10

  2   0.0065510   0.26   0.17

  3  -0.0279832  -1.09   1.36

  4  -0.0079441  -0.31   1.46

  5   0.0254074   0.99   2.44

There are 83 lags but the first 5 have been used identify whether there is auto correlation present:

Lag

LBQ

Chi-Squared

Interpretation

1

0.10

1640_Tests for Heteroscedasticity.png= 3.84

Since LBQ = 0.10 < 3.84 so accept H0 as there is sufficient evidence to suggest there is no autocorrelation

2

0.17

 1640_Tests for Heteroscedasticity.png= 5.99

Since LBQ = 0.17 < 5.99 so accept H0 as there is sufficient evidence to suggest there is no autocorrelation

3

1.36

 1640_Tests for Heteroscedasticity.png= 7.81

Since LBQ = 1.36 < 7.81 so accept H0 as there is sufficient evidence to suggest there is no autocorrelation

4

1.46

 1640_Tests for Heteroscedasticity.png= 9.48

Since LBQ = 1.46 < 9.48 so accept H0 as there is sufficient evidence to suggest there is no autocorrelation

5

2.44

 1640_Tests for Heteroscedasticity.png= 11.07

Since LBQ = 2.44 < 11.07 so accept H0 as there is sufficient evidence to suggest there is no autocorrelation


Related Discussions:- Ljung-box q-test

#titleassignment, I want to get the quotation of my on-line assignment its ...

I want to get the quotation of my on-line assignment its based on 1000 words. lecturer provide the video links and we have to watch the videos and highlights the key points also de

Forest plot, A name sometimes given to the type of diagram generally used i...

A name sometimes given to the type of diagram generally used in meta-analysis, in which point estimates and confidence intervals are displayed for all the studies included in the a

Cluster randomization, Cluster randomization : The random allocation of the...

Cluster randomization : The random allocation of the groups or clusters of the individuals in the formation of treatment groups.Eeven though not as statistically ef?cient as the in

Explain kendall''s tau statistics, Kendall's tau statistics : The measures ...

Kendall's tau statistics : The measures of the correlation between the two sets of rankings. Kendall's tau itself (τ) is the rank correlation coefficient based on number of inversi

Weighted least squares, Weighted least squares  is the method of estimation...

Weighted least squares  is the method of estimation in which the estimates arise from minimizing the weighted sum of squares of the differences between response variable and its pr

Adjusted r-squared, R-squared is regarded as the coefficient of determinati...

R-squared is regarded as the coefficient of determination and is used to give the proportion of the fluctuation of the variance of one variable to another variable. R-squared also

Over dispersion, Over dispersion is the phenomenon which occurs when empir...

Over dispersion is the phenomenon which occurs when empirical variance in the data exceeds the nominal variance under some supposed model. Most often encountered when the modeling

Multilevel models, Multilevel models are the regression models for the mul...

Multilevel models are the regression models for the multilevel or clustered data where units i are nested in the clusters j, for example a cross-sectional study where students are

Gaussian markov random field, It is the multivariate normal random vector w...

It is the multivariate normal random vector which satisfies certain conditional independence suppositions. This can be viewed as a model framework which contains a wide range of st

Bayesian confidence interval, Bayesian confidence interval : An interval of...

Bayesian confidence interval : An interval of the posterior distribution which is so that the density of it at any point inside the interval is greater than that of the density at

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd