VARXResult.portmanteau_test

VARXResult.portmanteau_test(lags=10)

Multivariate Ljung-Box test for residual autocorrelation.

Parameters:

lags (int) – Number of residual autocovariances to include. Must exceed the fitted order comfortably, or the fitted parameters consume every degree of freedom.

Return type:

_WaldTest

Returns:

The _WaldTest. Rejection means the lag order is too short, so every other quantity here – impulse responses included – is computed from a misspecified system.

Raises:

SpecificationError – If lags is outside 1..nobs-1, or leaves no degrees of freedom after the fitted parameters.