Lagrange multiplier test for linearity against functional alternative
limitations: Assumes currently that the first column is integer. Currently it doesn’t check whether the transformed variables contain NaNs, for example log of negative number.
resid : ndarray
exog : ndarray
func : callable
lm : float
lm_pval : float
ftest : ContrastResult instance
written to match Gretl’s linearity test. The test runs an auxilliary regression of the residuals on the combined original and transformed regressors. The Null hypothesis is that the linear specification is correct.