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statsmodels.tsa.vector_ar.vecm.VECMResults.test_whiteness

VECMResults.test_whiteness(nlags=10, signif=0.05, adjusted=False) [source]

Test the whiteness of the residuals using the Portmanteau test.

This test is described in [1], chapter 8.4.1.

Parameters:
  • nlags (int > 0) –
  • signif (float, 0 < signif < 1) –
  • adjusted (bool, default False) –
Returns:

result

Return type:

statsmodels.tsa.vector_ar.hypothesis_test_results.WhitenessTestResults

References

[1] Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.

© 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.tsa.vector_ar.vecm.VECMResults.test_whiteness.html