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_x : Result instance¶

result instance of first model

results_z : Result instance¶

result instance of second model

store : bool, default False¶

If true, then the intermediate results are returned.

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) – two-sided pvalue for the t statistic

• res_store (ResultsStore, 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