statsmodels.stats.diagnostic.linear_harvey_collier

statsmodels.stats.diagnostic.linear_harvey_collier(res)[source]

Harvey Collier test for linearity

The Null hypothesis is that the regression is correctly modeled as linear.

Parameters

res (Result instance) –

Returns

  • tvalue (float) – test statistic, based on ttest_1sample

  • pvalue (float) – pvalue of the test

Notes

TODO: add sort_by option

This test is a t-test that the mean of the recursive ols residuals is zero. Calculating the recursive residuals might take some time for large samples.