I don't understand how to obtain a single test statistic Q and a single p-value, as it happens in software like Gretl, instead of getting all the statistics for each lags.
lb_test = acorr_ljungbox(residuals, lags=10)
print(lb_test)
the output is:
lb_stat lb_pvalue
1 0.517035 0.472109
2 14.876470 0.000588
3 24.138083 0.000023
4 25.068592 0.000049
5 25.346384 0.000119
6 29.206748 0.000056
7 31.653655 0.000047
8 31.686802 0.000106
9 32.856403 0.000141
10 32.863939 0.000287
and I don't really know how to get just one statistics and one p-value with 10 lags. Any clue?
Futhermore, when I estimate a GARCH for the volatility part, Do I need to check the autocorrelation in its residuals or its standardized residuals? Is it ok if I use the ljung box test again?
Thank you so much
I expect an output like this:
Ljung-Box Q' = 14,9614,
con p-value = P(Chi-quadro(10) > 14,9614) = 0,133