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.