Event when application loses focus

Is there an event to bind to for when my application loses
focus? I want to check when a user clicks on another window such as firefox,
etc. I tried

self.Bind(wx.EVT_KILL_FOCUS, self.OnFocusLost) and self.Bind(wx.EVT_LEAVE_WINDOW,
self.OnFocusLost) but nothing happens. Is there such an event for MSW?

-Kyle Rickey