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:¶

nlagsint > 0

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

signiffloat, between 0 and 1

The significance level of the test.

adjustedbool, default False

Flag indicating to apply small-sample adjustments.

Returns:¶

WhitenessTestResults

The test results.

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.