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=0.05¶

adjusted : bool, default False¶

Returns:¶

result

Return type:¶

statsmodels.tsa.vector_ar.hypothesis_test_results.WhitenessTestResults

References