Lagrange Multiplier tests for autocorrelation
not checked yet, copied from unitrood_adf with adjustments check array shapes because of the addition of the constant. written/copied without reference This is not Breush-Godfrey. BG adds lags of residual to exog in the design matrix for the auxiliary regression with residuals as endog, see Greene 12.7.1.
Notes
If x is calculated as y^2 for a time series y, then this test corresponds to the Engel test for autoregressive conditional heteroscedasticity (ARCH). TODO: get details and verify