Ljung-box test for no serial correlation of standardized residuals
Null hypothesis is no serial correlation.
Parameters: | method : string {‘ljungbox’,’boxpierece’} or None
lags : None, int or array_like
|
---|---|
Returns: | output : array
|
Notes
If the first d loglikelihood values were burned (i.e. in the specified model, loglikelihood_burn=d), then this test is calculated ignoring the first d residuals.
Output is nan for any endogenous variable which has missing values.