statsmodels.stats.diagnostic.acorr_breush_godfrey¶
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statsmodels.stats.diagnostic.
acorr_breush_godfrey
(*args, **kwds)¶ acorr_breush_godfrey is deprecated, use acorr_breusch_godfrey instead! Use acorr_breusch_godfrey, acorr_breush_godfrey will be removed in 0.9 (Note: misspelling missing ‘c’)
Breusch Godfrey Lagrange Multiplier tests for residual autocorrelation
Parameters: results : Result instance
Estimation results for which the residuals are tested for serial correlation
- nlags : int
Number of lags to include in the auxiliary regression. (nlags is highest lag)
- store : bool
If store is true, then an additional class instance that contains intermediate results is returned.
Returns: lm : float
Lagrange multiplier test statistic
- lmpval : float
p-value for Lagrange multiplier test
- fval : float
fstatistic for F test, alternative version of the same test based on F test for the parameter restriction
- fpval : float
pvalue for F test
- resstore : instance (optional)
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 Greene 12.7.1.