statsmodels.stats.diagnostic.breaks_hansen(olsresults)
[source]
test for model stability, breaks in parameters for ols, Hansen 1992
Parameters: | olsresults (instance of RegressionResults) – uses only endog and exog |
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Returns: |
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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
Greene section 7.5.1, notation follows Greene
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.stats.diagnostic.breaks_hansen.html