statsmodels.tsa.vector_ar.vecm.VECMResults.test_whiteness

VECMResults.test_whiteness(nlags=10, signif=0.05, adjusted=False)

Test the whiteness of the residuals using the Portmanteau test.

This test is described in [1], chapter 8.4.1.

Parameters:

• nlags (int > 0) –
• signif (float, 0 < signif < 1) –
• adjusted (bool, default False) –

Returns:

result

Return type:

statsmodels.tsa.vector_ar.hypothesis_test_results.WhitenessTestResults

References

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