statsmodels.tsa.vector_ar.svar_model.SVARResults.test_whiteness

SVARResults.test_whiteness(nlags=10, signif=0.05, adjusted=False)

Residual whiteness tests using Portmanteau test

Parameters:

nlagsint, optional

The number of lags tested must be larger than the number of lags included in the VAR model.

signiffloat, optional

The significance level of the test, between 0 and 1.

adjustedbool, optional

Flag indicating to apply small-sample adjustments. The default is False.

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.