statsmodels.stats.diagnostic.compare_cox¶
-
statsmodels.stats.diagnostic.
compare_cox
(results_x, results_z, store=False)[source]¶ Compute the Cox test for non-nested models
- Parameters
results_x : Result instance
result instance of first model
results_z : Result instance
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
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 [R84] for more information.
Formulas from [R84], section 8.3.4 translated to code
Matches results for Example 8.3 in Greene
References