statsmodels.tsa.ar_model.AutoRegResults.test_heteroskedasticity¶
-
AutoRegResults.
test_heteroskedasticity
(lags=None)[source]¶ ARCH-LM test of residual heteroskedasticity
Parameters: lags : int
The maximum number of lags to use in the test. Jointly tests that all squared autocorrelations up to and including lag j are zero for j = 1, 2, …, lags. If None, uses lag=12*(nobs/100)^{1/4}.
Returns: Series
Series containing the test statistic and its p-values.
See also
statsmodels.stats.diagnostic.het_arch
- ARCH-LM test.
statsmodels.stats.diagnostic.acorr_lm
- LM test for autocorrelation.