statsmodels.stats.diagnostic.breaks_hansen¶
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statsmodels.stats.diagnostic.
breaks_hansen
(olsresults)[source]¶ Test for model stability, breaks in parameters for ols, Hansen 1992
Parameters: olsresults : RegressionResults
Results from estimation of a regression model.
Returns: teststat : float
Hansen’s test statistic.
crit : ndarray
The critical values at alpha=0.95 for different nvars.
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