statsmodels.stats.diagnostic.acorr_breusch_godfrey

statsmodels.stats.diagnostic.acorr_breusch_godfrey(res, nlags=None, store=False)[source]

Breusch-Godfrey Lagrange Multiplier tests for residual autocorrelation.

Parameters:

  • res (RegressionResults) – Estimation results for which the residuals are tested for serial correlation.

  • nlags (int, optional) – Number of lags to include in the auxiliary regression. (nlags is highest lag).

  • store (bool, default False) – If store is true, then an additional class instance that contains intermediate results is returned.

Returns:

  • lm (float) – Lagrange multiplier test statistic.

  • lmpval (float) – The p-value for Lagrange multiplier test.

  • fval (float) – The value of the f statistic for F test, alternative version of the same test based on F test for the parameter restriction.

  • fpval (float) – The pvalue for F test.

  • res_store (ResultsStore) – 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 [1], section 12.7.1.

References