statsmodels.stats.diagnostic.HetGoldfeldQuandt¶

class
statsmodels.stats.diagnostic.
HetGoldfeldQuandt
[source]¶ test whether variance is the same in 2 subsamples
Parameters:  y (array_like) – endogenous variable
 x (array_like) – exogenous variable, regressors
 idx (integer) – column index of variable according to which observations are sorted for the split
 split (None or integer or float in intervall (0,1)) – index at which sample is split. If 0<split<1 then split is interpreted as fraction of the observations in the first sample
 drop (None, float or int) – If this is not None, then observation are dropped from the middle part of the sorted series. If 0<split<1 then split is interpreted as fraction of the number of observations to be dropped. Note: Currently, observations are dropped between split and split+drop, where split and drop are the indices (given by rounding if specified as fraction). The first sample is [0:split], the second sample is [split+drop:]
 alternative (string, 'increasing', 'decreasing' or 'twosided') – default is increasing. This specifies the alternative for the pvalue calculation.
Returns:  (fval, pval) or res
 fval (float) – value of the Fstatistic
 pval (float) – pvalue of the hypothesis that the variance in one subsample is larger than in the other subsample
 res (instance of result class) – The class instance is just a storage for the intermediate and final results that are calculated
Notes
The Null hypothesis is that the variance in the two subsamples are the same. The alternative hypothesis, can be increasing, i.e. the variance in the second sample is larger than in the first, or decreasing or twosided.
Results are identical R, but the drop option is defined differently. (sorting by idx not tested yet)
Methods
run
(y, x[, idx, split, drop, alternative, …])see class docstring