statsmodels.stats.diagnostic.HetGoldfeldQuandt¶

class
statsmodels.stats.diagnostic.
HetGoldfeldQuandt
[source]¶ 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 ‘twosided’
default is increasing. This specifies the alternative for the pvalue calculation.
Returns: (fval, pval) or res
fval : float
value of the Fstatistic
pval : float
pvalue 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 subsamples 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 twosided.
Results are identical R, but the drop option is defined differently. (sorting by idx not tested yet)
Methods