Compare lr test rebased #1214

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merged 14 commits into from Dec 11, 2013

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@josef-pkt
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rebased and cleaned up version of @bashtage PR #1174

I skipped some redundant commits, and edited the commits during merge conflicts (in almost every commit).

Main change besides cleanup of reverted and unnecessary commits is in default cov_type="nonrobust" especially commit 4d517f5

A second change that I kept from my sandwich branch and didn't change during rebase is that the default is use_t=None not use_t=False. A minor generic reason is that in this case we can identify if the user explicitly specifies use_t. The main reason is that None means default, which will be use_t=True with cov_type='nonrobust' in linear model, but I think also withcov_type='cluster', andFalse` for all other covariances and models.
Still up for debate.

I'd like to merge this before #1173 and #1176 because I saw one duplicate commit too late to drop it.

Discussion on cov_type="nonrobust"

#1189 (comment) and follow-up

I changed "H" for homoscedasticity to "nonrobust", both because I'm not a fan of one letter names (does H mean homo- or heteroscedasticity as in HCx), and because "nonrobust" doesn't imply that we assume homoscedasticity.

To the later point:

  • We can estimate a linear model with WLS that uses an estimated heteroscedasticity function (the wresid would be homoscedastic but not the resid if the specification is correct). However, we can still use either a robust or a nonrobust covariance matrix after estimating with WLS.
  • In Poisson and most other generalized linear models we have an implied heteroscedasticity. "nonrobust" means that the heteroscedasticity of the underlying (Q)MLE model is not assumed to be correctly specified.

Same applies to auto- or cluster correlation.

Plus, Wooldridge talks all the time of using robust or not robust covariance matrices or hypothesis tests.

So far I can think of only "nonrobust" that captures the idea that we are not robust to misspecification of the error covariance matrix. The opposite view would be the model has correctly specified second moments, but I don't know a good short name for that.

Kevin Sheppard and others added some commits Oct 30, 2013
@josef-pkt Kevin Sheppard Initial addition of heteroskedasticity robust LM and LR tests. dbff023
@josef-pkt Kevin Sheppard * Initial addition of heteroskedasticity robust LM and LR tests.
* Additional Clean up
fec0296
@josef-pkt Kevin Sheppard Bug fixes for lr test 1001f50
@josef-pkt josef-pkt fixed typo defe1b1
@josef-pkt Kevin Sheppard Added test that check whether OLS, GLS and WLS produce the same resul…
…ts when the weight matrix or sigma are diagonal with the same values
0c1928b
@josef-pkt Kevin Sheppard Added basic tests for LM 85f1941
@josef-pkt Kevin Sheppard LM test now handles robust covariance
Fixed loglikelihood in WLS
Lots of Typo fixed in docstrings
PEP8 fixes
Added _is_nested method to detect nested models
rebase conflicts fixed, hopefully
b4a4c29
@josef-pkt Kevin Sheppard Added tests for compare_lm_test
Fixed test for summary which was failing due to now mandatory cov_type
Added additional OLS/WLS/GLS equivalence tests
4e64ab9
@josef-pkt Kevin Sheppard Added _has_constant function which can detect implicit constant
Added _is_nested to test whether models are nested when comparing models
Added compare_lm_test
Merged with get_robustvcv_result which is needed to implement tests
Added large sample likelihood-ratio test
Implemented cov_type for all models including homoskedastic regression.  Use 'H' for the homoskedastic case
heavily edited for 'nonrobust' instead of 'H' during rebase
4d517f5
@josef-pkt Kevin Sheppard ENH: Added method _has_constant which can correctly detect an implici…
…t constant
d44e12b
@josef-pkt Kevin Sheppard ENH: Normalization of weights in WLS and loglike correction 00d0f9f
@josef-pkt Kevin Sheppard ENH: Added cov_type for all models a36000b
@josef-pkt Kevin Sheppard Made tests tougher aad6bae
@josef-pkt
Member

I didn't review yet the new functions in detail.

@bashtage do you see anything obvious that I might have messed up during rebase?

The test suite passes, and I would like to merge this soon, so we have again a common code for working on the next parts, with hopefully fewer merge conflicts next time.

@coveralls

Coverage Status

Coverage remained the same when pulling aad6bae on josef-pkt:compare_lr_test_rebased into a14d989 on statsmodels:master.

@josef-pkt josef-pkt commented on an outdated diff Dec 1, 2013
statsmodels/regression/linear_model.py
if has_robust1 or has_robust2:
import warnings
warnings.warn('Likelihood Ratio test is likely invalid with ' +
'robust covariance, proceeding anyway', UserWarning)
- # See mailing list discussion October 17,
+ if large_sample:
+ return self.compare_lr_test(restricted, use_lr=True)
@josef-pkt
josef-pkt Dec 1, 2013 Member

rebase error
this is duplicate from above line 1495 and should be deleted
call to compare_lm_test uses robust cov

@josef-pkt josef-pkt commented on the diff Dec 11, 2013
statsmodels/regression/linear_model.py
@@ -114,6 +135,24 @@ def df_resid(self):
def df_resid(self, value):
self._df_resid = value
+ def _has_constant(self):
@josef-pkt
josef-pkt Dec 11, 2013 Member

I think this should move to some place more general, to base or to tools (in follow-up PR)

@bashtage
bashtage Dec 13, 2013 Contributor

Makes sense. I think that this is a general technique that should be available to other models, e.g. glm.

@josef-pkt josef-pkt referenced this pull request Dec 11, 2013
Merged

Sandwich mle #1225

@coveralls

Coverage Status

Coverage remained the same when pulling 80acfff on josef-pkt:compare_lr_test_rebased into a14d989 on statsmodels:master.

@josef-pkt
Member

merging this

Thank you Kevin,
I'm going to merge the other two PR next.
I don't remember now where the WLS=GLS change is because I don't see any test failures.

@josef-pkt josef-pkt merged commit fe97936 into statsmodels:master Dec 11, 2013

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@josef-pkt josef-pkt deleted the josef-pkt:compare_lr_test_rebased branch Dec 16, 2013
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