statsmodels.tsa.vector_ar.var_model.VARResults.test_whiteness¶
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VARResults.
test_whiteness
(nlags=10, signif=0.05, adjusted=False)[source]¶ Residual whiteness tests using Portmanteau test
Parameters: nlags : int > 0
signif : float, between 0 and 1
adjusted : bool, default False
Returns: results : WhitenessTestResults
Notes
Test the whiteness of the residuals using the Portmanteau test as described in [R209], chapter 4.4.3.
References
[R209] (1, 2) Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.