Llung-Box code on a time series without lbqtest provided by the econometrics toolbox

Llung-Box code on a time series without lbqtest provided by the econometrics toolbox

Answer 1

[Shivam Lahoti]

Hi Simon,

As we know the Ljung-Box test is a statistical procedure to detect autocorrelation in a time series. Without the lbqtest function from MATLAB's Econometrics Toolbox, you can manually calculate the test statistic by computing autocorrelations for various lags, then applying the Ljung-Box formula. Finally, compare the test statistic to the chi-square distribution to assess the presence of autocorrelation.

Kindly refer to the following document to understand more about the Ljung-Box Q-Test:

https://www.mathworks.com/help/econ/ljung-box-q-test.html

Regards,

Shivam.