AThe Box-Pierce Q-statistic is used to test whether the residuals in a time series are white noise
BThe Ljung-Box Q-statistic is used to test whether a time series exhibits a linear trend under the null hypothesis of a unit root
CThe Box-Pierce Q-statistic is approximately distributed as a chi-squared random variable under the null hypothesis that autocorrelations are jointly zero in a time series
DSelection of the number of lags being tested (aka, maximum displacement, m) in the Ljung-Box test is a balance between conducting a joint test (i.e., can't be too small) and quality of the distribution approximations (i.e., can't be too large)
打開微信掃一掃
添加FRM講師
課程咨詢熱線
400-963-0708
微信掃一掃
還沒有找到合適的FRM課程?趕快聯(lián)系學(xué)管老師,讓老師馬上聯(lián)系您! 試聽FRM培訓(xùn)課程 ,高通過省時省心!