Hello everyone
I have a sample of 100 rnormal() in stata, am going to calculate this formula in stata
[IMG]file:///C:\Users\ben\AppData\Local\Temp\msohtmlclip1\01\cl ip_image001.png[/IMG]
Where r2k is squared autocorrelation up to k lag, h the maximum lag, n sample size, In my case, n=100, h=10 (I want to calculate 10 autocorrelation)
The purpose of this formula is to do monte carlo simulation with 1000 replication and derive the critical values (1%, 5%, 10%) for the Q*statistics for every 100 sample drawn