# statsmodels.tsa.statespace.dynamic_factor.DynamicFactorResults.f_test¶

DynamicFactorResults.f_test(r_matrix, cov_p=None, invcov=None)

Compute the F-test for a joint linear hypothesis.

This is a special case of wald_test that always uses the F distribution.

Parameters:
r_matrix

One of:

• array : An r x k array where r is the number of restrictions to test and k is the number of regressors. It is assumed that the linear combination is equal to zero.

• str : The full hypotheses to test can be given as a string. See the examples.

• tuple : A tuple of arrays in the form (R, q), q can be either a scalar or a length k row vector.

cov_parray_like, optional

An alternative estimate for the parameter covariance matrix. If None is given, self.normalized_cov_params is used.

invcovarray_like, optional

A q x q array to specify an inverse covariance matrix based on a restrictions matrix.

Returns:
ContrastResults

The results for the test are attributes of this results instance.

t_test

Perform a single hypothesis test.

wald_test

Perform a Wald-test using a quadratic form.

statsmodels.stats.contrast.ContrastResults

Test results.

patsy.DesignInfo.linear_constraint

Specify a linear constraint.

Notes

The matrix r_matrix is assumed to be non-singular. More precisely,

r_matrix (pX pX.T) r_matrix.T

is assumed invertible. Here, pX is the generalized inverse of the design matrix of the model. There can be problems in non-OLS models where the rank of the covariance of the noise is not full.

Examples

>>> import numpy as np
>>> import statsmodels.api as sm
>>> results = sm.OLS(data.endog, data.exog).fit()
>>> A = np.identity(len(results.params))
>>> A = A[1:,:]

This tests that each coefficient is jointly statistically significantly different from zero.

>>> print(results.f_test(A))
<F test: F=array([[ 330.28533923]]), p=4.984030528700946e-10, df_denom=9, df_num=6>

Compare this to

>>> results.fvalue
330.2853392346658
>>> results.f_pvalue
4.98403096572e-10
>>> B = np.array(([0,0,1,-1,0,0,0],[0,0,0,0,0,1,-1]))

This tests that the coefficient on the 2nd and 3rd regressors are equal and jointly that the coefficient on the 5th and 6th regressors are equal.

>>> print(results.f_test(B))
<F test: F=array([[ 9.74046187]]), p=0.005605288531708235, df_denom=9, df_num=2>

Alternatively, you can specify the hypothesis tests using a string

>>> from statsmodels.datasets import longley
>>> from statsmodels.formula.api import ols