statsmodels.stats.diagnostic.compare_cox

statsmodels.stats.diagnostic.compare_cox(results_x, results_z, store=False)[source]

Compute the Cox test for non-nested models

Parameters:

  • results_x (Result instance) – result instance of first model

  • results_z (Result instance) – result instance of second model

  • store (bool, default False) – If true, then the intermediate results are returned.

Returns:

  • tstat (float) – t statistic for the test that including the fitted values of the first model in the second model has no effect.

  • pvalue (float) – two-sided pvalue for the t statistic

  • res_store (ResultsStore, optional) – Intermediate results. Returned if store is True.

Notes

Tests of non-nested hypothesis might not provide unambiguous answers. The test should be performed in both directions and it is possible that both or neither test rejects. see [1] for more information.

Formulas from [1], section 8.3.4 translated to code

Matches results for Example 8.3 in Greene

References