MVQSTAT - multivariate Q statistic

[TomDoan]

This procedure computes the Hosking(1981) variant of the multivariate Q statistic: "Equivalent Forms of the Multivariate Portmanteau Statistic", JRSS-B, vol 43, no. 2, pp 261-262.

mvqstat.src

Procedure file

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@MVQStat( options ) start end
# list of series*

Options
LAGS=# of lags [12]
DFC=degrees of freedom correction [0]

Variables Defined
%CDSTAT=test statistic
%SIGNIF=significance level treating statistic as chi-squared
%NDFQ=degrees of freedom of the chi-squared