ARResults.wald_test(r_matrix, cov_p=None, scale=1.0, invcov=None, use_f=None)
Compute a Wald-test for a joint linear hypothesis.
Parameters: |
|
---|---|
Returns: |
res – The results for the test are attributes of this results instance. |
Return type: |
ContrastResults instance |
See also
statsmodels.stats.contrast.ContrastResults
, f_test
, t_test
, patsy.DesignInfo.linear_constraint
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.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.ar_model.ARResults.wald_test.html