statsmodels.stats.diagnostic.compare_j¶
-
statsmodels.stats.diagnostic.
compare_j
(results_x, results_z, store=False)[source]¶ Compute the J-test for non-nested models
- Parameters
results_x : RegressionResults
The result instance of first model.
results_z : RegressionResults
The result instance of second model.
store : bool, default False
If true, then the intermediate results are returned.
- Returns
tstat : float
t statistic for the test that including the fitted values of the first model in the second model has no effect.
pvalue : float
two-sided pvalue for the t statistic
res_store : ResultsStore, optional
Intermediate results. Returned if store is True.
Notes
From description in Greene, section 8.3.3. Matches results for Example 8.3, Greene.
Tests of non-nested hypothesis might not provide unambiguous answers. The test should be performed in both directions and it is possible that both or neither test rejects. see Greene for more information.
References
- R85
Greene, W. H. Econometric Analysis. New Jersey. Prentice Hall; 5th edition. (2002).