Breush Godfrey Lagrange Multiplier tests for residual autocorrelation
Parameters : | results : Result instance
nlags : int
store : bool
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Returns : | lm : float
lmpval : float
fval : float
fpval : float
resstore : instance (optional)
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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