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梦梦 · 2024年08月13日

关于QLB Ljung-box statistic

  1. FRM I
  2. Quantitative

NO.PZ2020011101000016

问题如下：

Suppose you observed sample autocorrelations ρ^1=0.24,ρ^2=−0.04\widehat\rho_1 = 0.24, \widehat\rho_2 = -0.04, and ρ^3=0.08\widehat\rho_3 = 0.08 in a time series with 100 observations. Would a Ljung-Box Q statistic reject its null hypothesis using a test with a size of 5%? Would the test reject the null using a size of 10% or 1%?

解释：

The test statistic is

QLB=T∑i=1h(T+2T−i)ρ^i2Q_{LB}=T\sum_{i=1}^h(\frac{T+2}{T-i})\widehat\rho_i^2

=100∗(102/99)(0.24)2+100∗(102/98)(−0.04)2+100∗(102/97)(0.08)2=100*(102/99)(0.24)^2+100*(102/98)(-0.04)^2+100*(102/97)(0.08)^2

=5.93+0.16+0.67=6.77=5.93+0.16+0.67=6.77

The critical values for tests sizes of 10%, 5%, and 1% are 6.25, 7.81, and 11.34, respectively. (CHISQ.INV(1-α\alpha, 3) in Excel, where α\alpha is the test size). The null is only be rejected using a size of 10%

1、“卡方分布表自由度用3，ρ的数量”这里的意思是指，e1和e2，e1和e3，e1和e4，一共三个p，所以是4个e，所以自由度是3？

2、这题的假设检验

Ha：至少有一个p不等于0，拒绝域为什么不是在两边？


之前学的检验 H0:方差1=方差2

Ha：方差1不等于方差2

用（n-1）*样本方差/假设估计的方差，这个拒绝域我怎么记得是在两边？


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已采纳答案

品职答疑小助手雍 · 2024年08月22日

嗨，努力学习的PZer你好：


是会得到比较大的数，拒绝域在右边

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

梦梦 · 2024年08月22日

好的，谢谢🙏

品职答疑小助手雍 · 2024年08月13日

嗨，努力学习的PZer你好：


要不再看一下你之前的提问？https://class.pzacademy.com/qa/160557

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加油吧，让我们一起遇见更好的自己！

梦梦 · 2024年08月20日

Qbp和Qlb检验的拒绝域不能看Ha，也是在右边吧？因为平方，只会得到一个特别大的数

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相关问题

NO.PZ2020011101000016问题如下 Suppose you observesample autocorrelations ρ^1=0.24,ρ^2=−0.04\wihat\rho_1 = 0.24, \wihat\rho_2 = -0.04ρ​1​=0.24,ρ​2​=−0.04, anρ^3=0.08\wihat\rho_3 = 0.08ρ​3​=0.08 in a time series with 100 observations. Woula Ljung-Box Q statistic rejeits null hypothesis using a test with a size of 5%? Woulthe test rejethe null using a size of 10% or 1%? The test statistic is QLB=T∑i=1h(T+2T−i)ρ^i2Q_{LB}=T\sum_{i=1}^h(\frac{T+2}{T-i})\wihat\rho_i^2QLB​=T∑i=1h​(T−iT+2​)ρ​i2​=100∗(102/99)(0.24)2+100∗(102/98)(−0.04)2+100∗(102/97)(0.08)2=100*(102/99)(0.24)^2+100*(102/98)(-0.04)^2+100*(102/97)(0.08)^2=100∗(102/99)(0.24)2+100∗(102/98)(−0.04)2+100∗(102/97)(0.08)2=5.93+0.16+0.67=6.77=5.93+0.16+0.67=6.77=5.93+0.16+0.67=6.77The criticvalues for tests sizes of 10%, 5%, an1% are 6.25, 7.81, an11.34, respectively. (CHISQ.INV(1-α\alphaα, 3) in Excel, where α\alphis the test size). The null is only rejecteusing a size of 10% 1、为什么有三个autocorrelation，自由度就是3？自由度就是可以自由变动的变量个数？2、这里的p都是指残差的p吧？是估计值和真实值之间的残差？

2024-05-07 21:32 3 · 回答

NO.PZ2020011101000016 问题如下 Suppose you observesample autocorrelations ρ^1=0.24,ρ^2=−0.04\wihat\rho_1 = 0.24, \wihat\rho_2 = -0.04ρ​1​=0.24,ρ​2​=−0.04, anρ^3=0.08\wihat\rho_3 = 0.08ρ​3​=0.08 in a time series with 100 observations. Woula Ljung-Box Q statistic rejeits null hypothesis using a test with a size of 5%? Woulthe test rejethe null using a size of 10% or 1%? The test statistic is QLB=T∑i=1h(T+2T−i)ρ^i2Q_{LB}=T\sum_{i=1}^h(\frac{T+2}{T-i})\wihat\rho_i^2QLB​=T∑i=1h​(T−iT+2​)ρ​i2​=100∗(102/99)(0.24)2+100∗(102/98)(−0.04)2+100∗(102/97)(0.08)2=100*(102/99)(0.24)^2+100*(102/98)(-0.04)^2+100*(102/97)(0.08)^2=100∗(102/99)(0.24)2+100∗(102/98)(−0.04)2+100∗(102/97)(0.08)2=5.93+0.16+0.67=6.77=5.93+0.16+0.67=6.77=5.93+0.16+0.67=6.77The criticvalues for tests sizes of 10%, 5%, an1% are 6.25, 7.81, an11.34, respectively. (CHISQ.INV(1-α\alphaα, 3) in Excel, where α\alphis the test size). The null is only rejecteusing a size of 10% 为什么是3，题干是3个P，没说有四个X 变量。怎么分析得出是3呢？

2024-01-29 10:07 1 · 回答

NO.PZ2020011101000016 问题如下 Suppose you observesample autocorrelations ρ^1=0.24,ρ^2=−0.04\wihat\rho_1 = 0.24, \wihat\rho_2 = -0.04ρ​1​=0.24,ρ​2​=−0.04, anρ^3=0.08\wihat\rho_3 = 0.08ρ​3​=0.08 in a time series with 100 observations. Woula Ljung-Box Q statistic rejeits null hypothesis using a test with a size of 5%? Woulthe test rejethe null using a size of 10% or 1%? The test statistic is QLB=T∑i=1h(T+2T−1)ρ^i2Q_{LB}=T\sum_{i=1}^h(\frac{T+2}{T-1})\wihat\rho_i^2QLB​=T∑i=1h​(T−1T+2​)ρ​i2​=100∗(102/99)(0.24)2+100∗(102/98)(−0.04)2+100∗(102/97)(0.08)2=100*(102/99)(0.24)^2+100*(102/98)(-0.04)^2+100*(102/97)(0.08)^2=100∗(102/99)(0.24)2+100∗(102/98)(−0.04)2+100∗(102/97)(0.08)2=5.93+0.16+0.67=6.77=5.93+0.16+0.67=6.77=5.93+0.16+0.67=6.77The criticvalues for tests sizes of 10%, 5%, an1% are 6.25, 7.81, an11.34, respectively. (CHISQ.INV(1-α\alphaα, 3) in Excel, where α\alphis the test size). The null is only rejecteusing a size of 10% T+2/T-1的分母部分，是怎么算的，为什么不是统一的T-1=100-1=99？

2024-01-09 17:15 1 · 回答

NO.PZ2020011101000016 =3是因为有三个p吗？

2022-01-21 15:11 1 · 回答