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

Richard Sperling () and Christopher Baum
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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". 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.
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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)

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

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