statsmodels.stats.diagnostic.HetGoldfeldQuandt
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class statsmodels.stats.diagnostic.HetGoldfeldQuandt
[source]
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test whether variance is the same in 2 subsamples
Parameters: |
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y (array_like) – endogenous variable
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x (array_like) – exogenous variable, regressors
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idx (integer) – column index of variable according to which observations are sorted for the split
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split (None or integer or float in intervall (0,1)) – index at which sample is split. If 0<split<1 then split is interpreted as fraction of the observations in the first sample
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drop (None, float or int) – If this is not None, then observation are dropped from the middle part of the sorted series. If 0<split<1 then split is interpreted as fraction of the number of observations to be dropped. Note: Currently, observations are dropped between split and split+drop, where split and drop are the indices (given by rounding if specified as fraction). The first sample is [0:split], the second sample is [split+drop:]
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alternative (string, 'increasing', 'decreasing' or 'two-sided') – default is increasing. This specifies the alternative for the p-value calculation.
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Returns: |
- (fval, pval) or res
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fval (float) – value of the F-statistic
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pval (float) – p-value of the hypothesis that the variance in one subsample is larger than in the other subsample
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res (instance of result class) – The class instance is just a storage for the intermediate and final results that are calculated
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Notes
The Null hypothesis is that the variance in the two sub-samples are the same. The alternative hypothesis, can be increasing, i.e. the variance in the second sample is larger than in the first, or decreasing or two-sided.
Results are identical R, but the drop option is defined differently. (sorting by idx not tested yet)
Methods
run (y, x[, idx, split, drop, alternative, …]) | see class docstring |