statsmodels.tsa.vector_ar.vecm.VECMResults.test_whiteness

method

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

Test the whiteness of the residuals using the Portmanteau test.

This test is described in [R91], chapter 8.4.1.

Parameters:

nlags : int > 0

signif : float, 0 < signif < 1

adjusted : bool, default False

Returns:

result : statsmodels.tsa.vector_ar.hypothesis_test_results.WhitenessTestResults

References

[R91](1, 2) Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.