# linearmodels.iv.results.IVResults.wooldridge_overid¶

property IVResults.wooldridge_overid: Union[InvalidTestStatistic, WaldTestStatistic][source]

Wooldridge’s score test of overidentification

Returns
WaldTestStatistic

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

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.