statsmodels.stats.diagnostic.het_goldfeldquandt¶
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statsmodels.stats.diagnostic.
het_goldfeldquandt
(y, x, idx=None, split=None, drop=None, alternative='increasing', store=False)[source]¶ Goldfeld-Quandt homoskedasticity test.
This test examines whether the residual variance is the same in 2 subsamples.
- Parameters
y : array_like
endogenous variable
x : array_like
exogenous variable, regressors
idx : int, default None
column index of variable according to which observations are sorted for the split
split : {int, float}, default None
If an integer, this is the index at which sample is split. If a float in 0<split<1 then split is interpreted as fraction of the observations in the first sample. If None, uses nobs//2.
drop : {int, float}, default None
If this is not None, then observation are dropped from the middle part of the sorted series. If 0<split<1 then split is interpreted as fraction of the number of observations to be dropped. Note: Currently, observations are dropped between split and split+drop, where split and drop are the indices (given by rounding if specified as fraction). The first sample is [0:split], the second sample is [split+drop:]
alternative : {“increasing”, “decreasing”, “two-sided”}
The default is increasing. This specifies the alternative for the p-value calculation.
store : bool, default False
Flag indicating to return the regression results
- Returns
fval : float
value of the F-statistic
pval : float
p-value of the hypothesis that the variance in one subsample is larger than in the other subsample
ordering : str
The ordering used in the alternative.
res_store : ResultsStore, optional
Storage for the intermediate and final results that are calculated
Notes
The Null hypothesis is that the variance in the two sub-samples are the same. The alternative hypothesis, can be increasing, i.e. the variance in the second sample is larger than in the first, or decreasing or two-sided.
Results are identical R, but the drop option is defined differently. (sorting by idx not tested yet)