GLM.score_test(params_constrained, k_constraints=None, exog_extra=None, observed=True)[source]

score test for restrictions or for omitted variables

The covariance matrix for the score is based on the Hessian, i.e. observed information matrix or optionally on the expected information matrix..

  • params_constrained (array_like) – estimated parameter of the restricted model. This can be the parameter estimate for the current when testing for omitted variables.
  • k_constraints (int or None) – Number of constraints that were used in the estimation of params restricted relative to the number of exog in the model. This must be provided if no exog_extra are given. If exog_extra is not None, then k_constraints is assumed to be zero if it is None.
  • exog_extra (None or array_like) – Explanatory variables that are jointly tested for inclusion in the model, i.e. omitted variables.
  • observed (bool) – If True, then the observed Hessian is used in calculating the covariance matrix of the score. If false then the expected information matrix is used.

  • chi2_stat (float) – chisquare statistic for the score test
  • p-value (float) – P-value of the score test based on the chisquare distribution.
  • df (int) – Degrees of freedom used in the p-value calculation. This is equal to the number of constraints.


not yet verified for case with scale not equal to 1.