linearmodels.iv.results.IVResults.anderson_rubin¶
- property IVResults.anderson_rubin: InvalidTestStatistic | WaldTestStatistic[source]¶
Anderson-Rubin test of overidentifying restrictions
- Returns:
WaldTestStatistic
Object containing test statistic, p-value, distribution and null
Notes
The Anderson-Rubin test examines whether the value of \(\kappa\) computed for the LIML estimator is sufficiently close to one to indicate the model is not overidentified. The test statistic is
\[n \ln(\hat{\kappa}) \sim \chi^2_{q}\]where \(q = n_{instr} - n_{endog}\).