statsmodels.regression.linear_model.OLSResults.el_test

OLSResults.el_test(b0_vals, param_nums, return_weights=0, ret_params=0, method='nm', stochastic_exog=1, return_params=0)[source]

Tests single or joint hypotheses of the regression parameters using Empirical Likelihood.

Parameters:
  • b0_vals (1darray) – The hypothesized value of the parameter to be tested
  • param_nums (1darray) – The parameter number to be tested
  • print_weights (bool) – If true, returns the weights that optimize the likelihood ratio at b0_vals. Default is False
  • ret_params (bool) – If true, returns the parameter vector that maximizes the likelihood ratio at b0_vals. Also returns the weights. Default is False
  • method (string) – Can either be ‘nm’ for Nelder-Mead or ‘powell’ for Powell. The optimization method that optimizes over nuisance parameters. Default is ‘nm’
  • stochastic_exog (bool) – When TRUE, the exogenous variables are assumed to be stochastic. When the regressors are nonstochastic, moment conditions are placed on the exogenous variables. Confidence intervals for stochastic regressors are at least as large as non-stochastic regressors. Default = TRUE
Returns:

res – The p-value and -2 times the log-likelihood ratio for the hypothesized values.
Return type:

tuple

Examples

>>> import statsmodels.api as sm
>>> data = sm.datasets.stackloss.load()
>>> endog = data.endog
>>> exog = sm.add_constant(data.exog)
>>> model = sm.OLS(endog, exog)
>>> fitted = model.fit()
>>> fitted.params
>>> array([-39.91967442,   0.7156402 ,   1.29528612,  -0.15212252])
>>> fitted.rsquared
>>> 0.91357690446068196
>>> # Test that the slope on the first variable is 0
>>> fitted.el_test([0], [1])
>>> (27.248146353888796, 1.7894660442330235e-07)