statsmodels.stats.diagnostic.acorr_breusch_godfrey

statsmodels.stats.diagnostic.acorr_breusch_godfrey(results, nlags=None, store=False)

Breusch Godfrey Lagrange Multiplier tests for residual autocorrelation

Parameters

resultsResult instance

Estimation results for which the residuals are tested for serial correlation

nlagsint

Number of lags to include in the auxiliary regression. (nlags is highest lag)

storebool

If store is true, then an additional class instance that contains intermediate results is returned.

Returns

lmfloat

Lagrange multiplier test statistic

lmpvalfloat

p-value for Lagrange multiplier test

fvalfloat

fstatistic for F test, alternative version of the same test based on F test for the parameter restriction

fpvalfloat

pvalue for F test

resstoreinstance (optional)

a class instance that holds intermediate results. Only returned if store=True

Notes

BG adds lags of residual to exog in the design matrix for the auxiliary regression with residuals as endog, see Greene 12.7.1.

References

Greene Econometrics, 5th edition