[Gretl-users] Ljung-Box Q question

[adrian adermon]

Hi,

I am testing the residuals from a regression for autocorrelation (for an 
assignment at school), and the correlogram in Gretl gives me a different 
value for the Ljung-Box Q than i'd expect. I'm using a maximum lag of 2, 
and the autocorrelation coefficients are 0,7452 and 0,5167 respectively. 
These are the same values that Eviews produces, but Gretl gives the 
Ljung-Box Q as 17,5104, while Eviews gives 19,388, and my own 
calculations gives 19,386, using the formula found in Gujarati's Basic 
Econometrics, fourt edition, page 813. Does Gretl use a different 
formula to calculate the Q value?

I'm using version 1.5.0, but i can't find anything about this in the 
release notes for the later versions, so i'm assuming it might still be 
a problem, if it is a problem and not some mistake or misunderstanding 
on my part.

As i'm new to this list, i might as well briefly introduce myself. I'm a 
student at Uppsala University in Sweden, currently studying economics 
and statistics. Also, thank you Allin Cottrell for a great program!

/Adrian Adermon