BUG: use rank-adjusted df in wald_test_terms for rank-deficient models - #9907
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August 10, 2026 18:38
wald_test_terms was reporting df_constraint as the number of rows in the constraint matrix. For rank-deficient models this is wrong because some constraints are redundant. The wald_test method already computes the effective rank internally, so we now use that value instead. Closes statsmodels#9686
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Fixes #9686.
wald_test_termswas reportingdf_constraintas the number of rows in the constraint matrix (constraint.shape[0]). For rank-deficient models (e.g. over-parameterized with zero columns via_fit_collinear), this is wrong because some constraints are redundant.The
wald_testmethod already computes the matrix rank of the constraint covariance and adjusts the degrees of freedom internally. This PR uses that rank-adjusted value inwald_test_termsinstead of the nominal row count.Also updated
compare_waldresin the tests to check against the effective df, and added a regression test with a rank-deficient interaction model.AI Disclosure
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Claude.Used for:
drafting the implementation and tests.I have personally read, understood, and can explain every line of this diff, and have verified the statistical/numerical correctness of the change.