statsmodels.tsa.vector_ar.vecm.VECMResults.test_whiteness¶
-
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 [1], chapter 8.4.1.
References
[1]Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.
Last update:
Oct 12, 2024