Merge pull request statsmodels#5984 from bashtage/err-breusch

MAINT: Clarify breusch_pagan is for scalars

Author: bashtage

statsmodels/sandbox/stats/diagnostic.py

@@ -489,7 +489,10 @@ def acorr_breusch_godfrey(results, nlags=None, store=False):
 
     '''
 
-    x = np.asarray(results.resid)
+    x = np.asarray(results.resid).squeeze()
+    if x.ndim != 1:
+        raise ValueError('Model resid must be a 1d array. Cannot be used on'
+                         ' multivariate models.')
     exog_old = results.model.exog
     nobs = x.shape[0]
     if nlags is None:

statsmodels/stats/tests/test_diagnostic.py

@@ -10,6 +10,7 @@
 
 """
 import os
+import json
 
 import numpy as np
 import pandas as pd
@@ -21,11 +22,9 @@
 from statsmodels.regression.linear_model import OLS
 from statsmodels.tools.tools import add_constant
 from statsmodels.datasets import macrodata
-
 import statsmodels.stats.sandwich_covariance as sw
 import statsmodels.stats.diagnostic as smsdia
-import json
-
+from statsmodels.tools.tools import Bunch
 import statsmodels.stats.outliers_influence as oi
 
 cur_dir = os.path.abspath(os.path.dirname(__file__))
@@ -305,6 +304,11 @@ def test_acorr_breusch_godfrey(self):
         bg3 = smsdia.acorr_breusch_godfrey(res, nlags=14)
         assert_almost_equal(bg2, bg3, decimal=13)
 
+    def test_acorr_breusch_godfrey_multidim(self):
+        res = Bunch(resid=np.empty((100,2)))
+        with pytest.raises(ValueError, match='Model resid must be a 1d array'):
+            smsdia.acorr_breusch_godfrey(res)
+
     def test_acorr_ljung_box(self):
 
         #unit-test which may be useful later