statsmodels.stats.diagnostic.acorr_breusch_godfrey¶
-
statsmodels.stats.diagnostic.
acorr_breusch_godfrey
(res, nlags=None, store=False)[source]¶ Breusch-Godfrey Lagrange Multiplier tests for residual autocorrelation.
- Parameters
res : RegressionResults
Estimation results for which the residuals are tested for serial correlation.
nlags : int, default None
Number of lags to include in the auxiliary regression. (nlags is highest lag).
store : bool, default False
If store is true, then an additional class instance that contains intermediate results is returned.
- Returns
lm : float
Lagrange multiplier test statistic.
lmpval : float
The p-value for Lagrange multiplier test.
fval : float
The value of the f statistic for F test, alternative version of the same test based on F test for the parameter restriction.
fpval : float
The pvalue for F test.
res_store : ResultsStore
A class instance that holds intermediate results. Only returned if store=True.
Notes
BG adds lags of residual to exog in the design matrix for the auxiliary regression with residuals as endog. See [R83], section 12.7.1.
References