6.8.3.2.15. statsmodels.sandbox.stats.diagnostic.linear_harvey_collier¶

statsmodels.sandbox.stats.diagnostic.linear_harvey_collier(res)[source]¶

Harvey Collier test for linearity

The Null hypothesis is that the regression is correctly modeled as linear.

Parameters:

res : Result instance

Returns:

tvalue : float

test statistic, based on ttest_1sample

pvalue : float

pvalue of the test

Notes

TODO: add sort_by option

This test is a t-test that the mean of the recursive ols residuals is zero. Calculating the recursive residuals might take some time for large samples.