linearmodels.iv.results.IVResults.basmann¶
- property IVResults.basmann: InvalidTestStatistic | WaldTestStatistic[source]¶
Basmann’s test of overidentifying restrictions
- Returns:
WaldTestStatistic
Object containing test statistic, p-value, distribution and null
Notes
Requires more instruments than endogenous variables
Tests is a small-sample version of Sargan’s test that has the same distribution.
\[s (n - n_{instr}) / (n - s) \sim \chi^2_{v}\]where \(n_{instr}\) is the number of instruments, \(n_{exog}\) is the number of exogenous regressors and \(n_{endog}\) is the number of endogenous regressors. The degree of freedom is the difference between the number of instruments and the number of endogenous regressors.
\[v = n_{instr} - n_{exog}\]