statsmodels.stats.diagnostic.CompareJ.run

CompareJ.run(results_x, results_z, attach=True)

run J-test for non-nested models

Parameters:

results_x : Result instance

result instance of first model

results_z : Result instance

result instance of second model

attach : bool

If true, then the intermediate results are attached to the instance.

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

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 ??? for more information.

References

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