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

Richard Sperling () and Christopher Baum ()
Additional contact information
Richard Sperling: The Ohio State University

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 6.0
Keywords: timeseries; independence; Q test (search for similar items in EconPapers)
Date: 2001-01-17, Revised 2002-06-01
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.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/w/wntstmvq.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wntstmvq.hlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s416001

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().