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