statsmodels.tsa.ardl.UECMResults.test_heteroskedasticity¶
-
UECMResults.test_heteroskedasticity(lags=
None
)¶ ARCH-LM test of residual heteroskedasticity
- Parameters:¶
- lags
int
The maximum number of lags to use in the test. Jointly tests that all squared autocorrelations up to and including lag j are zero for j = 1, 2, …, lags. If None, uses lag=12*(nobs/100)^{1/4}.
- lags
- Returns:¶
Series
Series containing the test statistic and its p-values.
See also
statsmodels.stats.diagnostic.het_arch
ARCH-LM test.
statsmodels.stats.diagnostic.acorr_lm
LM test for autocorrelation.
Last update:
Oct 29, 2024