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

Continuous variable, Continuous variable : The measurement which is not res...

Continuous variable : The measurement which is not restricted to the particular values except in so far as this is constrained by the accuracy of measuring instrument. General exam

Explain literature controls, Literature controls : The patients with the di...

Literature controls : The patients with the disease of interest who have received, in the past, one of two treatments under the investigation, and for whom the results have been pu

Paired samples, Paired samples are the two samples of the observations wit...

Paired samples are the two samples of the observations with the characteristic feature with each of the observation in one sample have only one matching observation in the other s

Distribution free methods, The statistical methods for estimation and infer...

The statistical methods for estimation and inference which are based on a function of sample observations, probability distribution of which does not rely upon a complete speci?cat

Exponential order statistics model, The model which arises in the context o...

The model which arises in the context of estimating the size of the closed population where individuals within the population could be identified only during some of the observatio

Multi dimensional unfolding, Multi dimensional unfolding is the form of mu...

Multi dimensional unfolding is the form of multidimensional scaling applicable to both the rectangular proximity matrices where the rows and columns refer to the different sets of

Glejser’s test, The Null Hypothesis - H0:  There is no heteroscedasticity i...

The Null Hypothesis - H0:  There is no heteroscedasticity i.e. β 1 = 0 The Alternative Hypothesis - H1:  There is heteroscedasticity i.e. β 1 0 Reject H0 if |t | > t = 1.96

Expected monetary value, Ask quesoil company is considering whether or not ...

Ask quesoil company is considering whether or not to bid for an offshore drilling contract. If they bid, the value would be $600m with a 65% chance of gaining the contract. The com

Reasons for screening data, Reasons for screening data     Garbage i...

Reasons for screening data     Garbage in-garbage out     Missing data          a. Amount of missing data is less crucial than the pattern of it. If randomly

Statistically modeling, A comprehensive regression analysis of the case stu...

A comprehensive regression analysis of the case study London has been carried out to test the 4 assumptions of regression: 1. Variables are normally distributed 2. Linear rel

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