Порівняння методів

	Тест Люнга-Бокса Q для автокореляції	Тест Бройша-Годфрі LM на автокореляцію
Галузь	Економетрика	Економетрика
Родина	Hypothesis test	Regression model
Рік появи	1978	1978
Автор методу	Greta Ljung & George Box	Trevor Breusch & Leslie Godfrey
Тип	Portmanteau goodness-of-fit test	Lagrange-multiplier test for serial correlation
Основоположне джерело	Ljung, G. M., & Box, G. E. P. (1978). On a measure of lack of fit in time series models. Biometrika, 65(2), 297–303.	Godfrey, L. G. (1978). Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables. Econometrica, 46(6), 1293–1301.
Інші назви	Ljung-Box Q Test, Modified Box-Pierce Test, Portmanteau Test for Autocorrelation, Otokorelasyon Portmanteau Testi	BG test, LM test for autocorrelation, Breusch-Godfrey serial correlation test, Breusch-Godfrey otokorelasyon testi
Пов'язані	3	3
Підсумок	The Ljung-Box Q test is a diagnostic portmanteau test proposed by Ljung and Box (1978) to assess whether a group of autocorrelations in a time series residual sequence is jointly zero. It is widely used to evaluate the adequacy of fitted time series models — especially ARIMA models — by testing whether remaining residuals exhibit any systematic pattern. The test is applicable in econometrics, finance, and any field that relies on temporal data modeling.	The Breusch-Godfrey test is a Lagrange-multiplier test for serial correlation in regression residuals, developed independently by Trevor Breusch (1978) and Leslie Godfrey (1978). Unlike the Durbin-Watson test, it detects autocorrelation up to any chosen order p, remains valid when the model includes lagged dependent variables, and produces a definite chi-square p-value rather than an inconclusive region — making it the modern standard for autocorrelation testing.