statsmodels.stats.diagnostic.acorr_breush_godfrey

statsmodels.stats.diagnostic.acorr_breush_godfrey(results, nlags=None, store=False)

Breush Godfrey Lagrange Multiplier tests for residual autocorrelation

Parameters:

results : Result instance

Estimation results for which the residuals are tested for serial correlation

nlags : int

Number of lags to include in the auxiliary regression. (nlags is highest lag)

store : bool

If store is true, then an additional class instance that contains intermediate results is returned.

Returns:

lm : float

Lagrange multiplier test statistic

lmpval : float

p-value for Lagrange multiplier test

fval : float

fstatistic for F test, alternative version of the same test based on F test for the parameter restriction

fpval : float

pvalue for F test

resstore : instance (optional)

a class instance that holds intermediate results. Only returned if store=True

Notes

BG adds lags of residual to exog in the design matrix for the auxiliary regression with residuals as endog, see Greene 12.7.1.

References

Greene Econometrics, 5th edition