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scikits.statsmodels.sandbox.stats.diagnostic.breaks_hansen

scikits.statsmodels.sandbox.stats.diagnostic.breaks_hansen(olsresults)[source]

test for model stability, breaks in parameters for ols, Hansen 1992

Parameters :

olsresults : instance of RegressionResults

uses only endog and exog

skip : int or None

number of observations to use for initial OLS, if None then skip is set equal to the number of regressors (columns in exog)

Returns :

teststat : float

Hansen’s test statistic

crit : structured array

critical values at alpha=0.95 for different nvars

pvalue Not yet :

ft, s : arrays

temporary return for debugging, will be removed

Notes

looks good in example, maybe not very powerful for small changes in parameters

According to Greene, distribution of test statistics depends on nvar but not on nobs.

References

Greene section 7.5.1, notation follows Greene

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