Re: [Gretl-users] serial correlation test

Fri, 03 Aug 2012 20:41:53 +0000 

Enders (3rd ed., p. 70): "Under the null hypothesis that all values of [the 
sample autocorrelations] = 0, Q is asymptotically chi-squared...If the 
calculated value of Q exceeds the appropriate value in a chi-squared table, we 
can reject the null of no significant autocorrelations."

So Enders actually states 2 versions of the null. At any rate, I'd argue that 
the word 'significant' should apply to the results of the test, not to the 
hypothesis being tested. Otherwise, the distribution of the statistic under the 
null would depend on the significance level of the test, right?

I'd score this Allin 1, Enders 0. Now back to what I should be working on...

PS

From: gretl-users-bounces(a)lists.wfu.edu 
[mailto:gretl-users-bounces(a)lists.wfu.edu] On Behalf Of Pindar
Sent: Friday, August 03, 2012 4:18 PM
To: Gretl list
Subject: Re: [Gretl-users] serial correlation test

Am 03.08.2012 00:13, schrieb Allin Cottrell:

On Thu, 2 Aug 2012, Alessia Via wrote:



So, in this case:

 Equation 1:

 Ljung-Box Q' = 0,67263 with p-value = P(Chi-quadro(4) > 0,67263) = 0,955



Equation  2:

 Ljung-Box Q' = 1,25278 with p-value = P(Chi-quadro(4) > 1,25278) = 0,869



Equation  3:

 Ljung-Box Q' = 0,0826623 with p-value = P(Chi-quadro(4) > 0,0826623) = 0,999



I have to reject the null of non significant correlation for eq. 2??



No. the p-value of 0.869 means that you are nowhere near rejecting

the null hypothesis (which, by the way, states that there is no

autocorrelation, not that there is no "significant"

autocorrelation).
Then we have to inform Prof. Enders that in at least the 2. edition of his book 
"Applied econometric time series" he is wrong by writing this.




See my correction to Pindar's posting at



http://lists.wfu.edu/pipermail/gretl-users/2012-August/007820.html



Allin Cottrell





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Enders (3rd ed., p. 70): “Under the null hypothesis that all values of [the sample autocorrelations] = 0, Q is asymptotically chi-squared…If the calculated value of Q exceeds the appropriate value in a chi-squared table, we can reject the null of no significant autocorrelations.”

 

So Enders actually states 2 versions of the null. At any rate, I’d argue that the word ‘significant’ should apply to the results of the test, not to the hypothesis being tested. Otherwise, the distribution of the statistic under the null would depend on the significance level of the test, right?

 

I’d score this Allin 1, Enders 0. Now back to what I should be working on…

 

PS

 

From: [email protected] [mailto:[email protected]] On Behalf Of Pindar
Sent: Friday, August 03, 2012 4:18 PM
To: Gretl list
Subject: Re: [Gretl-users] serial correlation test

 

Am 03.08.2012 00:13, schrieb Allin Cottrell:

On Thu, 2 Aug 2012, Alessia Via wrote:
 
So, in this case:
 Equation 1:
 Ljung-Box Q' = 0,67263 with p-value = P(Chi-quadro(4) > 0,67263) = 0,955
 
Equation  2:
 Ljung-Box Q' = 1,25278 with p-value = P(Chi-quadro(4) > 1,25278) = 0,869
 
Equation  3:
 Ljung-Box Q' = 0,0826623 with p-value = P(Chi-quadro(4) > 0,0826623) = 0,999
 
I have to reject the null of non significant correlation for eq. 2??
 
No. the p-value of 0.869 means that you are nowhere near rejecting 
the null hypothesis (which, by the way, states that there is no 
autocorrelation, not that there is no "significant" 
autocorrelation).

Then we have to inform Prof. Enders that in at least the 2. edition of his book "Applied econometric time series" he is wrong by writing this.

 
See my correction to Pindar's posting at
 
http://lists.wfu.edu/pipermail/gretl-users/2012-August/007820.html
 
Allin Cottrell
 
 
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