linearmodels.asset_pricing.results.LinearFactorModelResults.j_statistic

property LinearFactorModelResults.j_statistic: WaldTestStatistic

Model J statistic

Returns
WaldTestStatistic

Test statistic for null that model prices test portfolios

Notes

Joint test that all estimated \(\hat{\alpha}_i\) are zero. Implemented using a Wald test using the estimated parameter covariance.

Return type

WaldTestStatistic