statsmodels.tsa.ar_model.AutoRegResults.test_heteroskedasticity

AutoRegResults.test_heteroskedasticity(lags=None)

ARCH-LM test of residual heteroskedasticity

Parameters:

lagsint

The maximum number of lags to use in the test. Jointly tests that all squared autocorrelations up to and including lag j are zero for j = 1, 2, …, lags. If None, uses lag=12*(nobs/100)^{1/4}.

Returns:

Series

Series containing the test statistic and its p-values.

See also

statsmodels.stats.diagnostic.het_arch

ARCH-LM test.

statsmodels.stats.diagnostic.acorr_lm

LM test for autocorrelation.