EdgeFrame timeseries_breusch_godfrey_test

---

timeseries_breusch_godfrey_test(self, residuals, factors, max_lag)

Breusch-Godfrey statistics test

Parameters:

residuals : unicode

Name of the column that contains residual (y) values

factors : list

Name of the column(s) that contain factors (x) values

max_lag : int32

The lag order to calculate the test statistic.

Returns:

: dict

Calculates the Breusch-Godfrey test statistic for serial correlation.

Examples

Consider the following frame:

>>> frame.inspect()
[#]  date                      y  x1  x2    x3   x4  x5  x6
=============================================================
[0]  2004-10-03T18:00:00.000Z  2   6  1360  150  11   9  1046
[1]  2004-10-03T20:00:00.000Z  2   2  1402   88   9   0   939
[2]  2004-10-03T21:00:00.000Z  2   2  1376   80   9   2   948
[3]  2004-10-03T22:00:00.000Z  1   6  1272   51   6   5   836
[4]  2004-10-03T23:00:00.000Z  1   2  1197   38   4   7   750
[5]  2004-11-03T00:00:00.000Z  1   2  1185   31   3   6   690
[6]  2004-11-03T02:00:00.000Z  0   9  1094   24   2   3   609
[7]  2004-11-03T03:00:00.000Z  0   6  1010   19   1   7   561
[8]  2004-11-03T05:00:00.000Z  0   7  1066    8   1   1   512
[9]  2004-11-03T06:00:00.000Z  0   7  1052   16   1   6   553

Calcuate the Breusch-Godfrey test result:

>>> y_column = "y"
>>> x_columns = ['x1','x2','x3','x4','x5','x6']
>>> max_lag = 1

>>> result = frame.timeseries_breusch_godfrey_test(y_column, x_columns, max_lag)
[===Job Progress===]

>>> result["p_value"]
0.0015819480233076888

>>> result["test_stat"]
9.980638692819744