QSTAT2: MATLAB function to compute Ljung-Box Q statistic

Christopher Baum

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: MATLAB
Requires: MATLAB Release 5
Date: 1999-06-15
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/q/qstat2.m program file (text/plain)
http://fmwww.bc.edu/repec/bocode/q/qstat2_d.m demo file (text/plain)

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