FIGARCHResult.likelihood_ratio_test#

FIGARCHResult.likelihood_ratio_test(unrestricted)[source]#

Test this result as the restricted model against a nesting one.

Parameters:

unrestricted (_ComparisonMixin) – The nesting model, with at least as many parameters.

Return type:

_LikelihoodRatioTest

Returns:

The _LikelihoodRatioResult verdict.

Raises:

  • SpecificationError – If unrestricted does not have strictly more parameters, or its likelihood is lower – either indicates the two models are not nested the way the call assumes.

  • DimensionError – If the two were fitted to different samples.