statsmodels.tsa.vector_ar.svar_model.SVARResults.test_whiteness¶
-
SVARResults.test_whiteness(nlags=
10
, signif=0.05
, adjusted=False
)¶ Residual whiteness tests using Portmanteau test
Notes
Test the whiteness of the residuals using the Portmanteau test as described in [1], chapter 4.4.3.
References
[1]Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.
Last update:
Oct 29, 2024