statsmodels.stats.diagnostic.breaks_hansen¶

statsmodels.stats.diagnostic.breaks_hansen(olsresults)[source]¶

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

Parameters:¶

olsresults : RegressionResults¶

Results from estimation of a regression model.

Returns:¶

• teststat (float) – Hansen’s test statistic.

• crit (ndarray) – The critical values at alpha=0.95 for different nvars.

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.

Test statistic is verified against R:strucchange

References

Greene section 7.5.1, notation follows Greene