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QSTAT2: MATLAB function to compute Ljung-Box Q statistic


  • Christopher F. Baum

    () (Boston College)


This 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.

Suggested Citation

  • Christopher F. Baum, 1999. "QSTAT2: MATLAB function to compute Ljung-Box Q statistic," Statistical Software Components T961403, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:t961403

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