linearmodels.panel.results.PanelEffectsResults.f_pooled

property PanelEffectsResults.f_pooled: WaldTestStatistic

Test that included effects are jointly zero.

Returns
WaldTestStatistic

Statistic value, distribution and p-value

Notes

Joint test that all included effects are zero. Only correct under an assumption of homoskedasticity.

The test statistic is defined as

\[F = \frac{(RSS_{pool}-RSS_{effect})/(df_{pool}-df_{effect})}{RSS_{effect}/df_{effect}}\]

where \(RSS_{pool}\) is the residual sum of squares from a no- effect (pooled) model. \(RSS_{effect}\) is the residual sum of squares from a model with effects. \(df_{pool}\) is the residual degree of freedom in the pooled regression and \(df_{effect}\) is the residual degree of freedom from the model with effects. The test has an \(F_{k,df_{effect}}\) distribution where \(k=df_{pool}-df_{effect}\).

Return type

WaldTestStatistic