spreg.sur_lmtest

spreg.sur_lmtest(n, n_eq, sig)

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