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95% confidence interval

95% confidence interval

Box-Pierce Q statistic 14.42 Probability 0.9540 Ljung-Box (LB) Statistic 17.63 Probability 0.8578

se of correlations 0.110

95% confidence interval

95% confidence interval

Box-Pierce Q statistic 14.42 Probability 0.9540 Ljung-Box (LB) Statistic 17.63 Probability 0.8578

se of correlations 0.110

FIGURE 22.5 Correlograms of the residuals obtained from ARIMA model (22.5.2).

CHAPTER TWENTY-TWO: TIME SERIES ECONOMETRICS: FORECASTING 847

and partial autocorrelations is individually statistically significant. Nor is the sum of the 25 squared autocorrelations, as shown by the Box-Pierce Q and Ljung-Box LB statistics (see Chapter 2i), statistically significant. In other words, the correlograms of both autocorrelation and partial autocorrelation give the impression that the residuals estimated from (22.5.2) are purely random. Hence, there may not be any need to look for another ARIMA model.

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