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MMLU-Pro / 7179 / Which of the following statements is INCORRECT concerning a comparison of the…

Problem

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question

Which of the following statements is INCORRECT concerning a comparison of the Box-Pierce Q and the Ljung-Box Q* statistics for linear dependence in time series?

category

economics

options

  1. Asymptotically, the values of the two test statistics will be equal
  2. The Q test has better small-sample properties than the Q*
  3. The Q test is sometimes over-sized for small samples
  4. As the sample size tends towards infinity, both tests will show a tendency to always reject the null hypothesis of zero autocorrelation coefficients.

src

ori_mmlu-econometrics

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