linearmodels.iv.results.IVResults.wooldridge_overid¶
- property IVResults.wooldridge_overid : InvalidTestStatistic | WaldTestStatistic¶
Wooldridge’s score test of overidentification
Notes
Wooldridge’s test examines whether there is correlation between the model residuals and the component of the instruments that is orthogonal to the endogenous variables. Define \(\tilde{z}\) to be the residuals of the instruments regressed on the exogenous variables and the first-stage fitted values of the endogenous variables. The test is computed as a regression
\[1 = \gamma_1 \hat{\epsilon}_i \tilde{z}_{i,1} + \ldots + \gamma_q \hat{\epsilon}_i \tilde{z}_{i,q}\]where \(q = n_{instr} - n_{endog}\). The test is a \(n\times R^2 \sim \chi^2_{q}\).
The order of the instruments does not affect this test.