WNTSTMVQ: Stata module to compute multivariate Ljung-Box Q test
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.
|Requires:||Stata version 6.0|
|Date of creation:||17 Jan 2001|
|Date of revision:||01 Jun 2002|
|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|
Web page: http://fmwww.bc.edu/EC/
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|Order Information:||Web: http://repec.org/docs/ssc.php|
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