statsmodels.stats.diagnostic.het_white¶

statsmodels.stats.diagnostic.het_white(resid, exog, retres=False)[source]¶

White’s Lagrange Multiplier Test for Heteroscedasticity

Parameters

residarray_like: residuals, square of it is used as endogenous variable
exogarray_like: possible explanatory variables for variance, squares and interaction terms are included in the auxiliary regression.
resstoreinstance (optional): a class instance that holds intermediate results. Only returned if store=True

Returns

lmfloat: lagrange multiplier statistic
lm_pvalue :float: p-value of lagrange multiplier test
fvaluefloat: 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_pvaluefloat: 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 now test statistic reproduces Greene 5th, example 11.3