ENH/DOC: reset_test

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Assessment

Difficulty
4/5
Estimated time
3-5 days
Newbie friendliness
35/100
Issue type
Feature
Clarity
Mostly clear
Activity status
Stale
Tech stack
python

Research direction

Start with statsmodels/stats/outliers_influence.py around line 86, then compare the related link_test issue (#1479) and the comment linked in the issue. Review statsmodels/regression/tests/test_glsar_gretl.py and its two gretl-based tests. Done means the reset_test functionality is placed in the appropriate diagnostics area and exposed through the API and documentation, with corresponding unit coverage.

Written by the indexing model from the issue text.

Description

comp-docs comp-genmod comp-regression comp-stats topic-diagnostic type-enh

A general specification test mainly for functional form, extends easily to GLM and other models, either with an auxiliary regression or a variable addition score test.
similar to link_test #1479

see https://github.com/statsmodels/statsmodels/issues/2041#issuecomment-276161907

I thought I already had a function, but it looks like it's misplaced and not in api, docs
https://github.com/statsmodels/statsmodels/blob/master/statsmodels/stats/outliers_influence.py#L86
2 unit tests against gretl in "statsmodels\regression\tests\test_glsar_gretl.py"
I guess it should be in diagnostics, and not in outliers_influence

related
#5388 tools for binning, ...

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