TST: unit tests for MNLogit t_test, wald_test

Author: josef-pkt

statsmodels/discrete/tests/test_discrete.py

@@ -2586,16 +2586,15 @@ def test_cov_confint_pandas():
     assert isinstance(ci.index, pd.MultiIndex)
 
 
-def test_t_test():
+def test_mlogit_t_test():
     # GH669, check t_test works in multivariate model
-    data = load_anes96()
+    data = sm.datasets.anes96.load()
     exog = sm.add_constant(data.exog, prepend=False)
     res1 = sm.MNLogit(data.endog, exog).fit(disp=0)
     r = np.ones(res1.cov_params().shape[0])
     t1 = res1.t_test(r)
     f1 = res1.f_test(r)
 
-    data = sm.datasets.anes96.load()
     exog = sm.add_constant(data.exog, prepend=False)
     endog, exog = np.asarray(data.endog), np.asarray(exog)
     res2 = sm.MNLogit(endog, exog).fit(disp=0)
@@ -2604,3 +2603,20 @@ def test_t_test():
 
     assert_allclose(t1.effect, t2.effect)
     assert_allclose(f1.statistic, f2.statistic)
+
+    tt = res1.t_test(np.eye(np.size(res2.params)))
+    assert_allclose(tt.tvalue.reshape(6,6, order="F"), res1.tvalues.to_numpy())
+    tt = res2.t_test(np.eye(np.size(res2.params)))
+    assert_allclose(tt.tvalue.reshape(6,6, order="F"), res2.tvalues)
+
+    wt = res1.wald_test(np.eye(np.size(res2.params))[0], scalar=True)
+    assert_allclose(wt.pvalue, res1.pvalues.to_numpy()[0, 0])
+
+
+    tt = res1.t_test("y1_logpopul")
+    wt = res1.wald_test("y1_logpopul", scalar=True)
+    assert_allclose(tt.pvalue, wt.pvalue)
+
+    wt = res1.wald_test("y1_logpopul, y2_logpopul", scalar=True)
+    # regression test
+    assert_allclose(wt.statistic, 5.68660562, rtol=1e-8)