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UnobservedComponentsResults.f_test()

statsmodels.tsa.statespace.structural.UnobservedComponentsResults.f_test

UnobservedComponentsResults.f_test(r_matrix, cov_p=None, scale=1.0, invcov=None)

Compute the F-test for a joint linear hypothesis.

This is a special case of wald_test that always uses the F distribution.

Parameters:

r_matrix : array-like, str, or tuple

  • array : An r x k array where r is the number of restrictions to test and k is the number of regressors. It is assumed that the linear combination is equal to zero.
  • str