spreg.sur_lrtest¶
-
spreg.sur_lrtest(n, n_eq, ldetS0, ldetS1)[source]¶ Likelihood Ratio test on off-diagonal elements of Sigma
- Parameters
- nint
cross-sectional dimension (number of observations for an equation)
- n_eqint
number of equations
- ldetS0float
log determinant of Sigma for OLS case
- ldetS1float
log determinant of Sigma for SUR case (should be iterated)
- Returns
- (lrtest,M,pvalue)tuple
with value of test statistic (lrtest), degrees of freedom (M, as an integer) p-value