QSTAT2: MATLAB function to compute Ljung-Box Q statistic
AbstractThis MATLAB function computes the Ljung-Box 'Q' statistic, or portmanteau test, for autocorrelation in a timeseries. It is often applied to regression residuals as a diagnostic. The calling program specifies one or more lag lengths. QSTAT2 returns one or more test statistics and associated P-values. Various utility routines from Jim LeSage's Econometrics Toolbox (q.v.) are required. Also see Kanzler's QSTAT on this archive.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number T961403.
Programming language: MATLAB
Requires: MATLAB Release 5
Date of creation: 15 Jun 1999
Date of revision:
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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