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2015-09-23
In regard to the Box-Pierce and Ljung-Box Q-statistics, each of the following is TRUE except which is false?
a. The Box-Pierce Q-statistic is used to test whether the residuals in a time series are white noise
b. The Ljung-Box Q-statistic is used to test whether a time series exhibits a linear trend under the null hypothesis of a unit root
c. The 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
d. Selection 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)

我明白Q统计量是用来检验序列是否存在自相关性,而且我觉得A,C可能是对的,不该选。究竟是B还是D,我有点疑惑。

请各位高手帮忙,多谢!

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