statsmodels.tsa.vector_ar.var_model.VARResults.test_whiteness

VARResults.test_whiteness(nlags=10, signif=0.05, adjusted=False)

Residual whiteness tests using Portmanteau test

Parameters:

• nlags (int > 0) –
• signif (float, between 0 and 1) –
• adjusted (bool, default False) –

Returns:

results

Return type:

WhitenessTestResults

Notes

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

References

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