add compare methods to Results
Bug #677947 reported by
joep
This bug affects 1 person
Affects | Status | Importance | Assigned to | Milestone | |
---|---|---|---|---|---|
statsmodels |
New
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Undecided
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Unassigned |
Bug Description
see thread starting Oct17 2010, Comparing models
proposal by Thomas Wiecki
For now I made two methods out of it compare_f_test and
compare_lr_test both attached to regression results
I think, compare_lr_test will go higher up in the class hierarchy so
that it is also available for maximum likelihood models.
I like the more explicit names, but shorter names might be possible
In the simple example, compare_f_test produces exactly the same result
as f_test with the corresponding restriction matrix, as it should for
linear models. Likelihood Ratio test results are close to f_test but I
don't have an exact test for it yet.
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