property OLSResults.f_statistic : WaldTestStatistic

Model F-statistic


Test statistic for null all coefficients excluding constant terms are zero.

Return type:



Despite name, always implemented using a quadratic-form test based on estimated parameter covariance. Default is to use a chi2 distribution to compute p-values. If debiased is True, divides statistic by number of parameters tested and uses an F-distribution.

This version of the F-statistic directly uses the model covariance estimator and so is robust against the same specification issues.