statsmodels.tsa.vector_ar.var_model.VARResults.test_whiteness

VARResults.test_whiteness(nlags=10, signif=0.05, adjusted=False)[source]

Residual whiteness tests using Portmanteau test

Parameters:

nlags : int > 0

signif : float, between 0 and 1

adjusted : bool, default False

Returns:

results : WhitenessTestResults

Notes

Test the whiteness of the residuals using the Portmanteau test as described in [R209], chapter 4.4.3.

References

[R209](1, 2) Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.