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DOC/TST/ENH: score_test for affine constraints - status ? #7909

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josef-pkt opened this issue Nov 26, 2021 · 0 comments
Open

DOC/TST/ENH: score_test for affine constraints - status ? #7909

josef-pkt opened this issue Nov 26, 2021 · 0 comments

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@josef-pkt
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josef-pkt commented Nov 26, 2021

I don't remember whether and how score_test works with affine constraints r @ params = c, including fixing one parameter.

Does it work? Is it correct? Do we have unit tests?

two cases

  • fit_constrained, allows affine constraints using offset
  • fixed parameters set to a nonzero value

I think now whether c is zero or not is irrelevant:
All we need is score and hessian of full model evaluated at restricted parameters.
In standard nonrobust score test, we don't need any information about what the constraints are (similar to LR test).
For robust score_test, we need the restriction matrix r for the cov, but the effect of value c is included in the score.

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