statsmodels.tsa.ardl.ARDLResults.test_heteroskedasticity¶
- ARDLResults.test_heteroskedasticity(lags=None)¶
ARCH-LM test of residual heteroskedasticity
- Parameters:
- lags
int
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}.
- lags
- 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.