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