linearmodels.iv.results.IVResults.basmann_f¶
- property IVResults.basmann_f: Union[InvalidTestStatistic, WaldTestStatistic][source]¶
Basmann’s F test of overidentifying restrictions
- Returns
WaldTestStatistic
Object containing test statistic, p-value, distribution and null
Notes
Basmann’s F 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
\[\hat{\kappa} (n -n_{instr})/q \sim F_{q, n - n_{instr}}\]where \(q = n_{instr} - n_{endog}\).