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)

Test single or joint hypotheses using Empirical Likelihood.

Parameters

b0_vals1darray

The hypothesized value of the parameter to be tested.

param_nums1darray

The parameter number to be tested.

return_weightsbool

If true, returns the weights that optimize the likelihood ratio at b0_vals. The default is False.

ret_paramsbool

If true, returns the parameter vector that maximizes the likelihood ratio at b0_vals. Also returns the weights. The default is False.

methodstr

Can either be ‘nm’ for Nelder-Mead or ‘powell’ for Powell. The optimization method that optimizes over nuisance parameters. The default is ‘nm’.

stochastic_exogbool

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. The default is True.

Returns

tuple

The p-value and -2 times the log-likelihood ratio for the hypothesized values.

Examples

>>> import statsmodels.api as sm
>>> data = sm.datasets.stackloss.load(as_pandas=False)
>>> 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)