c15_08.py 文件源码

def breusch_pagan_test(y,x): 
    results=sm.OLS(y,x).fit() 
    resid=results.resid
    n=len(resid)
    sigma2 = sum(resid**2)/n 
    f = resid**2/sigma2 - 1
    results2=sm.OLS(f,x).fit() 
    fv=results2.fittedvalues 
    bp=0.5 * sum(fv**2) 
    df=results2.df_model
    p_value=1-sp.stats.chi.cdf(bp,df)
    return round(bp,6), df, round(p_value,7)
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