statsmodels.stats.diagnostic.acorr_breush_godfrey
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statsmodels.stats.diagnostic.acorr_breush_godfrey(results, nlags=None, store=False)
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Breush 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.
References
Greene Econometrics, 5th edition
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