statsmodels.stats.diagnostic.compare_j(results_x, results_z, store=
Compute the J-test for non-nested models
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.
Greene, W. H. Econometric Analysis. New Jersey. Prentice Hall; 5th edition. (2002).