statsmodels.multivariate.multivariate_ols._MultivariateOLSResults.mv_test

method

_MultivariateOLSResults.mv_test(hypotheses=None)

Linear hypotheses testing

Parameters

hypotheses: A list of tuples

Hypothesis L*B*M = C to be tested where B is the parameters in regression Y = X*B. Each element is a tuple of length 2, 3, or 4:

• (name, contrast_L)

• (name, contrast_L, transform_M)

• (name, contrast_L, transform_M, constant_C)

containing a string name, the contrast matrix L, the transform matrix M (for transforming dependent variables), and right-hand side constant matrix constant_C, respectively.

contrast_L2D array or an array of strings

Left-hand side contrast matrix for hypotheses testing. If 2D array, each row is an hypotheses and each column is an independent variable. At least 1 row (1 by k_exog, the number of independent variables) is required. If an array of strings, it will be passed to patsy.DesignInfo().linear_constraint.

transform_M2D array or an array of strings or None, optional

Left hand side transform matrix. If None or left out, it is set to a k_endog by k_endog identity matrix (i.e. do not transform y matrix). If an array of strings, it will be passed to patsy.DesignInfo().linear_constraint.

constant_C2D array or None, optional

Right-hand side constant matrix. if None or left out it is set to a matrix of zeros Must has the same number of rows as contrast_L and the same number of columns as transform_M

If hypotheses is None: 1) the effect of each independent variable on the dependent variables will be tested. Or 2) if model is created using a formula, hypotheses will be created according to design_info. 1) and 2) is equivalent if no additional variables are created by the formula (e.g. dummy variables for categorical variables and interaction terms)

Returns

results: _MultivariateOLSResults

Notes

Tests hypotheses of the form

L * params * M = C

where params is the regression coefficient matrix for the linear model y = x * params, L is the contrast matrix, M is the dependent variable transform matrix and C is the constant matrix.