WESTCHOTEST - Robust serial correlation test
Posted: Mon May 07, 2012 4:43 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. (Note that this test is not the main point of the paper).
@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
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 |