statsmodels.tsa.vector_ar.var_model.VARResults.test_whiteness¶

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

Residual whiteness tests using Portmanteau test

Parameters:¶

nlags : int > 0¶

The number of lags tested must be larger than the number of lags included in the VAR model.

signif : float, between 0 and 1¶

The significance level of the test.

adjusted : bool, default False¶

Flag indicating to apply small-sample adjustments.

Returns:¶

The test results.

Return type:¶

WhitenessTestResults

Notes

Test the whiteness of the residuals using the Portmanteau test as described in [1], chapter 4.4.3.

References