stats.diagnostic.het_white()

statsmodels.stats.diagnostic.het_white

statsmodels.stats.diagnostic.het_white(resid, exog, retres=False) [source]

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