statsmodels.tsa.vector_ar.var_model.VARResults.test_whiteness¶
method
-
VARResults.test_whiteness(nlags=10, signif=0.05, adjusted=False)[source]¶ Residual whiteness tests using Portmanteau test
- Parameters
- nlagsint > 0
- signiffloat, between 0 and 1
- adjustedbool, default False
- Returns
- resultsWhitenessTestResults
Notes
Test the whiteness of the residuals using the Portmanteau test as described in [1], chapter 4.4.3.
References