wtestq and Ljung-Box test

[Martijn Kreft]

Hello everyone!

I want to use the Ljung-Box Q test for stock returns, however I do not completely understand whether the command wntestq uses the Ljung-Box correction or only the Box-Pierce version. Or is there another command I can use? Or would it not make a difference?

Thank you for your time!

[Jean-Claude Arbaut]

You have the formula in the PDF manual (ts.pdf), and Stata computes the Ljung-Box statistic, not the Box-Pierce one. You can even check the source as it's quite simple: "viewsource wntestq.ado".

[Martijn Kreft]

Thank you!