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

Author

Listed:
  • Richard Sperling

    (The Ohio State University)

  • Christopher F Baum

    (Boston College)

Programming Language

Stata

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.

Suggested Citation

  • Richard Sperling & Christopher F Baum, 2001. "WNTSTMVQ: Stata module to compute multivariate Ljung-Box Q test," Statistical Software Components S416001, Boston College Department of Economics, revised 01 Jun 2002.
    • Handle: RePEc:boc:bocode:s416001
    Note: This module may be installed from within Stata by typing "ssc install wntstmvq". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

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