statsmodels.tsa.vector_ar.vecm.VECMResults.test_whiteness¶
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VECMResults.
test_whiteness
(nlags=10, signif=0.05, adjusted=False)[source]¶ Test the whiteness of the residuals using the Portmanteau test.
This test is described in [R227], chapter 8.4.1.
Parameters: nlags : int > 0
signif : float, 0 < signif < 1
adjusted : bool, default False
Returns: result :
statsmodels.tsa.vector_ar.hypothesis_test_results.WhitenessTestResults
References
[R227] (1, 2) Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.