REF: use generic f_test, it works

statsmodels · Oct 6, 2012 · 9f44860 · 9f44860
1 parent f5b9a42
commit 9f44860
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Showing 2 changed files with 8 additions and 2 deletions.
diff --git a/statsmodels/discrete/discrete_model.py b/statsmodels/discrete/discrete_model.py
@@ -2205,7 +2205,7 @@ def aic_(self):
     def bic_(self):
         return -2*self.llf + np.log(self.nobs)*self.nnz_params
 
-    def f_test(self, r_matrix, q_matrix=None, cov_p=None, scale=1.0,
+    def f_test_(self, r_matrix, q_matrix=None, cov_p=None, scale=1.0,
                invcov=None):
         if invcov is None:
             invcov = self.invcov()

diff --git a/statsmodels/discrete/tests/test_discrete.py b/statsmodels/discrete/tests/test_discrete.py
@@ -568,7 +568,7 @@ def test_l1_compatability_probit(self):
         alpha = np.array([0, 0, 0, 10])
         res_reg = Probit(self.data.endog, self.data.exog).fit_regularized(
             method="l1", alpha=alpha, disp=0, acc=1e-15, maxiter=2000,
-            trim_mode='off')
+            trim_mode='auto') #'off')
         # Actually drop the last columnand do an unregularized fit
         exog_no_PSI = self.data.exog[:, :3]
         res_unreg = Probit(self.data.endog, exog_no_PSI).fit(disp=0, tol=1e-15)
@@ -583,6 +583,12 @@ def test_l1_compatability_probit(self):
         assert_equal(res_unreg.df_model, res_reg.df_model)
         assert_equal(res_unreg.df_resid, res_reg.df_resid)
 
+        # Test f_test
+        f_unreg = res_unreg.f_test(np.eye(3))
+        f_reg = res_reg.f_test(np.eye(4)[:3])
+        assert_almost_equal(f_unreg.fvalue, f_reg.fvalue, DECIMAL_3)
+        assert_almost_equal(f_unreg.pvalue, f_reg.pvalue, DECIMAL_3)
+
 
 
 class CompareL1(object):