statsmodels.stats.diagnostic.acorr_breusch_godfrey#

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

Breusch-Godfrey Lagrange Multiplier tests for residual autocorrelation

Parameters:

resRegressionResults: Estimation results for which the residuals are tested for serial correlation.
nlagsint, optional: Number of lags to include in the auxiliary regression. (nlags is highest lag).
storebool, default False: If store is true, then an additional class instance that contains intermediate results is returned.
result_objectbool, optional: Flag indicating whether to return the results as an LMTestResult NamedTuple instead of a plain tuple. When store=True the NamedTuple holds the same five elements as the legacy tuple, so it unpacks identically and is always returned, with no warning. When store=False the legacy four-element tuple is returned by default and a FutureWarning is issued.

Deprecated since version 0.15.0: In release 0.16.0 or after July 2027, whichever is later, the default will change to always return an LMTestResult. Set result_object=True to opt in now, or result_object=False to silence the warning and keep the current return type.

Returns:

LMTestResult: If result_object=True, a NamedTuple with fields lm, lmpval, fval, fpval, and res_store (res_store is None when not computed). See LMTestResult.
Otherwise (the deprecated default), a plain tuple made up of:
lmfloat: Lagrange multiplier test statistic.
lmpvalfloat: The p-value for Lagrange multiplier test.
fvalfloat: The value of the f statistic for F test, alternative version of the same test based on F test for the parameter restriction.
fpvalfloat: The pvalue for F test.
res_storeResultsStore: 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

[1]

Greene, W. H. Econometric Analysis. New Jersey. Prentice Hall; 5th edition. (2002).