Chapter 5 Problems and Complements
Null Hypothesis: No serial correlation up to chosen lag. Q statistics distributed dof = n=#variables, h=#max chosen lags, p=order of the VAR. Not a good statistics to use if there is a quasi-unit root (requires high order MA coefficients to be 0). Autocorrelation LM Test. Null hypothesis: no autocorrelation up to lag h. ................
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