statsmodels.stats.diagnostic.het_white
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statsmodels.stats.diagnostic.het_white(resid, exog, retres=False)
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White?s Lagrange Multiplier Test for Heteroscedasticity
Parameters: resid : array_like
residuals, square of it is used as endogenous variable
exog : array_like
possible explanatory variables for variance, squares and interaction terms are included in the auxilliary regression.
resstore : instance (optional)
a class instance that holds intermediate results. Only returned if store=True
Returns: lm : float
lagrange multiplier statistic
lm_pvalue :float :
p-value of lagrange multiplier test
fvalue : float
f-statistic of the hypothesis that the error variance does not depend on x. This is an alternative test variant not the original LM test.
f_pvalue : float
p-value for the f-statistic
Notes
assumes x contains constant (for counting dof)
question: does f-statistic make sense? constant ?
References
Greene section 11.4.1 5th edition p. 222 now test statistic reproduces Greene 5th, example 11.3
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