statsmodels.sandbox.regression.gmm.IVRegressionResults.compare_f_test

IVRegressionResults.compare_f_test(restricted)

Use F test to test whether restricted model is correct.

Parameters:

restrictedResult 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.

Returns:

f_valuefloat

The test statistic which has an F distribution.

p_valuefloat

The p-value of the test statistic.

df_diffint

The degrees of freedom of the restriction, i.e. difference in df between models.

Notes

See mailing list discussion October 17,

This test compares the residual sum of squares of the two models. This is not a valid test, if there is unspecified heteroscedasticity or correlation. This method will issue a warning if this is detected but still return the results under the assumption of homoscedasticity and no autocorrelation (sphericity).