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).