MCLEODLI: RATS procedure to perform a McLeod-Li test for 2nd order dependence

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Performs a McLeod-Li test for 2nd order dependence. McLeod and Li(1993), "Diagnostic Checking of ARMA Time Series Models Using Squared Residual Autocorrelations", J. of Time Series Analysis, vol 4, pp 269-273.

Language: RATS
Requires: RATS 7.30
Keywords: Dependence tests; tests for ARCH (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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