6.8.3.2.9. statsmodels.sandbox.stats.diagnostic.breaks_hansen

statsmodels.sandbox.stats.diagnostic.breaks_hansen(olsresults)

test for model stability, breaks in parameters for ols, Hansen 1992

Parameters:

olsresults : instance of RegressionResults

uses only endog and exog

Returns:

teststat : float

Hansen’s test statistic

crit : structured array

critical values at alpha=0.95 for different nvars

pvalue Not yet

ft, s : arrays

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