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_xResult instance

result instance of first model

results_zResult instance

result instance of second model

storebool, default False

If true, then the intermediate results are returned.

Returns:
tstatfloat

t statistic for the test that including the fitted values of the first model in the second model has no effect.

pvaluefloat

two-sided pvalue for the t statistic

res_storeResultsStore, 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 [1] for more information.

Formulas from [1], section 8.3.4 translated to code

Matches results for Example 8.3 in Greene

References

[1] (1,2)

Greene, W. H. Econometric Analysis. New Jersey. Prentice Hall; 5th edition. (2002).


Last update: May 25, 2024