linearmodels.iv.results.IVResults.basmann_f

property IVResults.basmann_f: Union[InvalidTestStatistic, WaldTestStatistic]

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 \(q = n_{instr} - n_{endog}\).