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
signiffloat, between 0 and 1
adjustedbool, default False
Returns
resultsWhitenessTestResults

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.