statsmodels.stats.diagnostic.breaks_hansen

statsmodels.stats.diagnostic.breaks_hansen(olsresults)

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