ssfortran.diagnostics.breakvar

ssfortran.diagnostics.breakvar(x, h=None)

Test for heteroskedasticity by comparing the two ends of the sample.

\(H(h) = \sum_{t=n-h+1}^n e_t^2 / \sum_{t=1}^h e_t^2\), referred to the F(h, h) distribution (DK §2.12.1).

Parameters:

xarray_like

Residuals.

hint, optional

Number of observations at each end; default a third of the sample.

Returns:

statfloat

H(h).

pvaluefloat

Two-sided p-value.