*
* Monte Carlo exercise for Box-Pierce vs Ljung-Box
* page 183
*
all 50
compute p=4
compute ndraws=10000
*
compute bprejects=0.0
compute lbrejects=0.0
do draws=1,ndraws
   set x = %ran(1.0)
   corr(noprint,method=yule,number=p) x / corrs
*
   compute bp=0.0
   compute lb=0.0
   do i=1,p
      compute bp=bp+corrs(1+i)**2
      compute lb=lb+corrs(1+i)**2/(%nobs-i)
   end do i
   compute bp=bp*%nobs
   compute lb=lb*%nobs*(%nobs+2)
   compute bprejects=bprejects+(%chisqr(bp,4)<=.05)
   compute lbrejects=lbrejects+(%chisqr(lb,4)<=.05)
end do draws
*
disp "Box-Pierce estimated size" bprejects/ndraws
disp "Ljung-Box estimated size " lbrejects/ndraws