statsmodels.stats.diagnostic.CompareJ.run¶

CompareJ.
run
(results_x, results_z, attach=True)[source]¶ run Jtest for nonnested models
Parameters: results_x : Result instance
result instance of first model
results_z : Result instance
result instance of second model
attach : bool
If true, then the intermediate results are attached to the instance.
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
twosided pvalue for the t statistic
Notes
Tests of nonnested 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 ??? for more information.
References
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