statsmodels.stats.diagnostic.compare_j¶

statsmodels.stats.diagnostic.compare_j(results_x, results_z, store=False)[source]¶

Compute the J-test for non-nested models

Parameters:¶

results_x : RegressionResults¶

The result instance of first model.

results_z : RegressionResults¶

The 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

From description in Greene, section 8.3.3. Matches results for Example 8.3, Greene.

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 Greene for more information.

References