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WNTSTMVQ: Stata module to compute multivariate Ljung-Box Q test

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Author Info

  • Richard Sperling

    ()
    (The Ohio State University)

  • Christopher F Baum

    ()
    (Boston College)

Abstract

wntstmvq performs the multivariate Ljung-Box portmanteau (or Q) test for white noise in a set of timeseries. This test is a generalization of the univariate Ljung-Box portmanteau (Q) test implemented in Stata as wntestq. The null hypothesis of the multivariate test is that the autocorrelation functions of all series in varlist have no significant elements for lags 1-lags.

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File URL: http://fmwww.bc.edu/repec/bocode/w/wntstmvq.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/w/wntstmvq.hlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S416001.

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Programming language: Stata
Requires: Stata version 6.0
Date of creation: 17 Jan 2001
Date of revision: 01 Jun 2002
Handle: RePEc:boc:bocode:s416001

Note: This module may be installed from within Stata by typing "ssc install wntstmvq". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

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Web: http://repec.org/docs/ssc.php

Related research

Keywords: timeseries; independence; Q test;

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