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