Solved – Correlogram q-statistics of residuals

econometricseviewsp-valueresidualswhite noise

I am currently try to get information from the correlogram of residuals in eviews from a certain equation; I am supposed to understand if residuals are white noise or not and to adfirm that they are white noise, the p-values should be all greater than 0.05.

Anyway, there are some p-values which are missing; it's not that they are 0, they are not present at all! What does this mean? enter image description here

Best Answer

I think the reason why the p-values are not reported is because the Q-statistic is follows a Chi-squared distribution, where the d.f. = the number of lags (e.g. at lag 2, d.f. = 2). However, for the residuals calculated from an ARMA or ARIMA estimation, the d.f. should be adjusted for the number of ARMA terms. So I suppose the output above comes from an ARMA with 4 terms (e.g. ARMA(2,2), ARMA(3,1),...). Thus the d.f. at lags 1-4 is <=0 and thus a p-value cannot be computed. This is based on the eviews help article here: http://www.eviews.com/help/helpintro.html#page/content%2Fseries-Correlogram.html%23ww159896

Related Question