WESTCHOTEST - Robust Q Statistic
Posted: Wed Mar 14, 2012 2:19 pmThis computes the modified Ljung-Box test, robust to heteroscedasticity, proposed in West and Cho(1995), "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, vol. 69, no 2, 367-391. The standard Q assumes (for its asymptotics) that E(e(t)^2e(t-j)^2)=s^4 for all j where s^2 is the variance of the e process. This allows empirical estimates of those expectations instead.
@WestChoTest( options ) series start end
Parameters:
Options:
NUMBER=# of lags to use [roughly 2 sqrt(# of observations]
DFC=degrees of freedom correction for Q [0]
[PRINT]/NOPRINT
westchotest.src- Procedure file
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@WestChoTest( options ) series start end
Parameters:
| series | series to analyze | |
| start end | range of <<series>> to use. By default, the defined range of <<series>> |
Options:
NUMBER=# of lags to use [roughly 2 sqrt(# of observations]
DFC=degrees of freedom correction for Q [0]
[PRINT]/NOPRINT