Linear
Gets the Breusch-Godfrey test for serial correlation
in the residuals of the regression model.
Definition
Namespace: Extreme.Statistics
Assembly: Extreme.Numerics (in Extreme.Numerics.dll) Version: 8.1.23
C#
A hypothesis test with the null hypothesis that there is no autocorrelation between the residuals.
Assembly: Extreme.Numerics (in Extreme.Numerics.dll) Version: 8.1.23
public SimpleHypothesisTest GetBreuschGodfreyTest(
int order
)Parameters
- order Int32
- The highest auto-regressive order to include in the test. Must be at least 1.
Return Value
SimpleHypothesisTestA hypothesis test with the null hypothesis that there is no autocorrelation between the residuals.
Exceptions
| ArgumentOutOfRangeException | order is less than 1. |
| InvalidOperationException | order is greater than or equal to the number of observations. |
| InvalidOperationException | T |