linear_lm(resid, exog, func=None)¶
Lagrange multiplier test for linearity against functional alternative
limitations: Assumes currently that the first column is integer. Currently it doesn’t check whether the transformed variables contain NaNs, for example log of negative number.
resid : ndarray
residuals of a regression
exog : ndarray
exogenous variables for which linearity is tested
func : callable
If func is None, then squares are used. func needs to take an array of exog and return an array of transformed variables.
lm : float
Lagrange multiplier test statistic
lm_pval : float
p-value of Lagrange multiplier tes
ftest : ContrastResult instance
the results from the F test variant of this test
written to match Gretl’s linearity test. The test runs an auxilliary regression of the residuals on the combined original and transformed regressors. The Null hypothesis is that the linear specification is correct.