def test_liml_direct(data):
mod = IVLIML(data.dep, data.exog, data.endog, data.instr)
nobs = data.dep.shape[0]
ninstr = data.exog.shape[1] + data.instr.shape[1]
res = mod.fit()
get_all(res)
mod2 = IVLIML(data.dep, data.exog, data.endog, data.instr, kappa=res.kappa)
res2 = mod2.fit()
assert_allclose(res.params, res2.params)
mod3 = IVLIML(data.dep, data.exog, data.endog, data.instr, fuller=1)
res3 = mod3.fit()
assert_allclose(res3.kappa, res.kappa - 1 / (nobs - ninstr))
def test_fuller_error(self, data):
with pytest.raises(ValueError):
IVLIML(data.dep,
data.exog,
data.endog,
data.instr,
fuller=np.array([1]))
def test_kappa_error_exception(data):
with pytest.raises(ValueError):
IVLIML(data.dep,
data.exog,
data.endog,
data.instr,
kappa=np.array([1]))
def test_kappa_fuller_warning(self, data):
with warnings.catch_warnings(record=True) as w:
IVLIML(data.dep,
data.exog,
data.endog,
data.instr,
kappa=0.99,
fuller=1)
assert len(w) == 1