ssLjungBox#

Purpose#

Computes the Ljung-Box test of the null hypothesis that the residuals are independently distributed..

{ Q_stat, p_val } = ssLjungBox(resid)#

Parameters:

resid (Vector) – Model residuals.

Returns:

Q_stat (Scalar) – Ljung-Box test statistic for the heteroskedasticity.
p_value (Scalar) – P-value for the test statistic for the Ljung-Box test statistic.

// Generate random vector of residuals
rndseed 929212;
resid = rndn(150, 1);

// Test for heteroskedasticity
{ Q_stat, p_val } = ssLjungBox(resid);

The code above results in the following:

Q_stat = 2.0876
p_val = 0.1485

In this case, the p-values suggests that we fail to reject the null hypothesis that the residuals are independently distributed.

ssmain.src