spreg.diagnostics_sur.sur_lmtest¶
-
spreg.diagnostics_sur.
sur_lmtest
(n, n_eq, sig)[source]¶ Lagrange Multiplier test on off-diagonal elements of Sigma
- Parameters
- nint
cross-sectional dimension (number of observations for an equation)
- n_eqint
number of equations
- sigarray
inter-equation covariance matrix for null model (OLS)
- Returns
- (lmtest,M,pvalue)tuple
with value of test statistic (lmtest), degrees of freedom (M, as an integer) p-value