statsmodels.stats.diagnostic.het_arch¶
-
statsmodels.stats.diagnostic.
het_arch
(resid, nlags=None, autolag=None, store=False, ddof=0)[source]¶ Engle’s Test for Autoregressive Conditional Heteroscedasticity (ARCH).
- Parameters
- resid
ndarray
residuals from an estimation, or time series
- nlags
int
,default
None
Highest lag to use. The behavior of this parameter will change after 0.12.
- autolag{
str
,None
},default
None
If None, then a fixed number of lags given by maxlag is used. This parameter is deprecated and will be removed after 0.12. Searching for model specification cannot control test size.
- storebool,
default
False
If true then the intermediate results are also returned
- ddof
int
,default
0 If the residuals are from a regression, or ARMA estimation, then there are recommendations to correct the degrees of freedom by the number of parameters that have been estimated, for example ddof=p+q for an ARMA(p,q).
- resid
- 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
- res_store
ResultsStore
,optional
Intermediate results. Returned if store is True.
- lm
Notes
verified against R:FinTS::ArchTest