WESTCHOTEST - Robust serial correlation test

[TomDoan]

This 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. (Note that this test is not the main point of the paper).

westchotest.src

Procedure file (requires RATS 7.3)

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@WestChoTest( options ) series start end

Options

NUMBER=# of lags to use [roughly 2 sqrt(# of observations]
DFC=degrees of freedom correction for Q [0]
[PRINT]/NOPRINT
TITLE=title for test output ["West-Cho Test for Series xxxx"]

Variables Defined

%NOBS	number of observations
%CDSTAT	test statistic
%QSTAT	test statistic
%SIGNIF	marginal significance level of Q-statistic
%QSIGNIF	marginal significance level of Q-statistic
%NDFQ	degrees of freedom for the test statistic