stats.diagnostic.HetGoldfeldQuandt

statsmodels.stats.diagnostic.HetGoldfeldQuandt

class statsmodels.stats.diagnostic.HetGoldfeldQuandt

test whether variance is the same in 2 subsamples

Parameters:

y : array_like endogenous variable x : array_like exogenous variable, regressors idx : integer column index of variable according to which observations are sorted for the split split : None or integer or float in intervall (0,1) index at which sample is split. If 0<split<1 then split is interpreted as fraction of the observations in the first sample drop : None, float or int If this is not None, then observation are dropped from the middle part of the sorted series. If 0<split<1 then split is interpreted as fraction of the number of observations to be dropped. Note: Currently, observations are dropped between split and split+drop, where split and drop are the indices (given by rounding if specified as fraction). The first sample is [0:split], the second sample is [split+drop:] alternative : string, ?increasing?, ?decreasing? or ?two-sided? default is increasing. This specifies the alternative for the p-value calculation.

Returns:

(fval, pval) or res : fval : float value of the F-statistic pval : float p-value of the hypothesis that the variance in one subsample is larger than in the other subsample res : instance of result class The class instance is just a storage for the intermediate and final results that are calculated

Notes

The Null hypothesis is that the variance in the two sub-samples are the same. The alternative hypothesis, can be increasing, i.e. the variance in the second sample is larger than in the first, or decreasing or two-sided.

Results are identical R, but the drop option is defined differently. (sorting by idx not tested yet)

Methods

run(y, x[, idx, split, drop, alternative, ...])

see class docstring