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

nlags : int > 0

signif : float, between 0 and 1

adjusted : bool, default False

Returns

results : WhitenessTestResults

Notes

Test the whiteness of the residuals using the Portmanteau test as described in [R200], chapter 4.4.3.

References

R200(1,2)

Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.