compare_lm_test(restricted, demean=True, use_lr=False)¶
Use Lagrange Multiplier test to test whether restricted model is correct
restricted : Result instance
The restricted model is assumed to be nested in the current model. The result instance of the restricted model is required to have two attributes, residual sum of squares, ssr, residual degrees of freedom, df_resid.
demean : bool
Flag indicating whether the demean the scores based on the residuals from the restricted model. If True, the covariance of the scores are used and the LM test is identical to the large sample version of the LR test.
lm_value : float
test statistic, chi2 distributed
p_value : float
p-value of the test statistic
df_diff : int
degrees of freedom of the restriction, i.e. difference in df between models
TODO: explain LM text