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:	nlags (int > 0) – signif (float, between 0 and 1) – adjusted (bool, default False) –
Returns:	results
Return type:	WhitenessTestResults

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.