statsmodels/statsmodels — pull request #2096 by josef-pkt (2014-11-17 17:20:01+00:00)
Title: Score/LM conditional moment tests

first round of adding generic robust score/LM and conditional moment tests

see #2041 for summary issue

most generic tests have unit tests for OLS case
some generic functions are untested
also includes GLM specific cm/lmtest, and Poisson over/under dispersion tests, no test coverage

I might want to merge this with only variable addition as verified use case and leave other applications and extensions for another PR.

### TODO

- needs a GLM case as unit test
- needs examples and unit tests for hypothesis on variances and error correlation.

### Extensions

For the next to it is not clear yet whether the generic/general case can handle those. My guess is that it should be covered already.

- nuisance parameters under alternative hypothesis,
example Wooldridge variance tests in GLM/LEF joint with mean
- locally mis-specified alternative, Bera and Yoon
This looks just like a test on only some of the overidentifying restrictions but partialling out all other alternatives, but I haven't verified that yet.

- cov_type: we don't have a simple function yet to calculate robust covariances standalone

- other extensions are to use this to implement specific functions