Definition

Test used to detect the presence of autocorrelation at lag $p$ in the residual

Consider a time series model $y_{t} = β_{0} + β_{1} y_{t - 1} + β_{2} y_{t - 2} + \dots + β_{p} y_{t - p} + ϵ_{t}$ $H_{0} : β_{1} = β_{2} = \dots = β_{p} = 0$

By the LRT, $n R^{2} \sim χ^{2} (p)$