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scikits.statsmodels.sandbox.stats.diagnostic.HetGoldfeldQuandt

class scikits.statsmodels.sandbox.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 : :

alternative : :

Returns :

(fval, pval) or res :

fval : float

value of the F-statistic

pval : float

p-value 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

TODO: add resultinstance - DONE maybe add drop-middle as option maybe allow for several breaks

recommendation for users: use this function as pattern for more flexible
split in tests, e.g. drop middle.

can do Chow test for structural break in same way

ran sanity check now identical to R, why did I have y**2?

Methods

run(y, x[, idx, split, drop, alternative, ...]) see class docstring

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