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