statsmodels.stats.diagnostic.acorr_breusch_godfrey

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

Breusch Godfrey Lagrange Multiplier tests for residual autocorrelation

Parameters
  • results (Result instance) – Estimation results for which the residuals are tested for serial correlation

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

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

Returns

  • lm (float) – Lagrange multiplier test statistic

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

  • fval (float) – fstatistic for F test, alternative version of the same test based on F test for the parameter restriction

  • fpval (float) – pvalue for F test

  • resstore (instance (optional)) – 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 Greene 12.7.1.

References

Greene Econometrics, 5th edition