statsmodels.stats.diagnostic.breaks_hansen¶
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statsmodels.stats.diagnostic.breaks_hansen(olsresults)[source]¶ test for model stability, breaks in parameters for ols, Hansen 1992
- Parameters
- olsresultsinstance of RegressionResults
uses only endog and exog
- Returns
- teststatfloat
Hansen’s test statistic
- critstructured array
critical values at alpha=0.95 for different nvars
- pvalue Not yet
- ft, sarrays
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.
Test statistic is verified against R:strucchange
References
Greene section 7.5.1, notation follows Greene