statsmodels.tsa.vector_ar.var_model.VARResults.test_whiteness¶
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VARResults.
test_whiteness
(nlags=10, signif=0.05, adjusted=False)[source]¶ Residual whiteness tests using Portmanteau test
- Parameters
- Returns
- results
WhitenessTestResults
- 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.