statsmodels.tsa.vector_ar.var_model.VARResults.test_whiteness¶
- VARResults.test_whiteness(nlags=10, signif=0.05, adjusted=False)[source]¶
Residual whiteness tests using Portmanteau test
- Parameters:
- Returns:
WhitenessTestResults
The test results.
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.