statsmodels.stats.diagnostic.het_white¶
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statsmodels.stats.diagnostic.
het_white
(resid, exog)[source]¶ White’s Lagrange Multiplier Test for Heteroscedasticity.
Parameters: resid : array_like
The residuals. The squared residuals are used as the endogenous variable.
exog : array_like
The explanatory variables for the variance. Squares and interaction terms are automatically included in the auxiliary regression.
Returns: lm : float
The lagrange multiplier statistic.
lm_pvalue :float
The p-value of lagrange multiplier test.
fvalue : float
The f-statistic of the hypothesis that the error variance does not depend on x. This is an alternative test variant not the original LM test.
f_pvalue : float
The p-value for the f-statistic.
Notes
Assumes x contains constant (for counting dof).
question: does f-statistic make sense? constant ?
References
Greene section 11.4.1 5th edition p. 222. Test statistic reproduces Greene 5th, example 11.3.