statsmodels.stats.diagnostic.acorr_breusch_godfrey(results, nlags=None, store=False)
[source]
Breusch Godfrey Lagrange Multiplier tests for residual autocorrelation
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BG adds lags of residual to exog in the design matrix for the auxiliary regression with residuals as endog, see Greene 12.7.1.
Greene Econometrics, 5th edition
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.stats.diagnostic.acorr_breusch_godfrey.html