statsmodels.tsa.vector_ar.var_model.VARResults.test_whiteness

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

Residual whiteness tests using Portmanteau test

Parameters:

  • nlags (int > 0) – The number of lags tested must be larger than the number of lags included in the VAR model.

  • signif (float, between 0 and 1) – The significance level of the test.

  • adjusted (bool, default False) – Flag indicating to apply small-sample adjustments.

Returns:

The test results.

Return type:

WhitenessTestResults

Notes

Test the whiteness of the residuals using the Portmanteau test as described in [1], chapter 4.4.3.

References