linearmodels.iv.results.IVResults.wooldridge_regression

property IVResults.wooldridge_regression: WaldTestStatistic[source]

Wooldridge’s regression test of exogeneity

Returns:
WaldTestStatistic

Object containing test statistic, p-value, distribution and null

Notes

Wooldridge’s test examines whether there is correlation between the components of the endogenous variables that cannot be explained by the instruments and the OLS regression residuals.

The test is implemented as an OLS where

\[y_i = x_{1i}\beta_i + x_{2i}\beta_2 + \hat{e}_i\gamma + \epsilon_i\]

where \(x_{1i}\) are the exogenous regressors, \(x_{2i}\) are the endogenous regressors and \(\hat{e}_{i}\) are the residuals from regressing the endogenous variables on the exogenous variables and instruments. The null is \(\gamma=0\) and is implemented using a Wald test. The covariance estimator used in the test is identical to the covariance estimator used with fit.