bg: Breusch-Godfrey test [BG test]

In AFR: Toolkit for Regression Analysis of Kazakhstan Banking Sector Data

Breusch-Godfrey test [BG test]

Description

BG test is used to test for autocorrelation in the errors of a regression model

Usage

bg(
  model,
  order = 1,
  order.by = NULL,
  type = c("Chisq", "F"),
  data = list(),
  fill = 0
)

Arguments

model	is a (generalized)linear regression model
order	integer. maximal order of serial correlation to be tested.
order.by	Either a vector z or a formula with a single explanatory variable like ~ z
type	the type of test statistic to be returned
data	an optional data frame containing the variables in the model
fill	starting values for the lagged residuals in the auxiliary regression. By default 0 but can also be set to NA.

References

Mitchel, D. and Zeileis, A. Published 2021-11-07. lmtest package

Examples

model <- lm(real_gdp ~ imp + exp + poil + eurkzt + tonia_rate, data = macroKZ)
bg(model)

AFR documentation built on Nov. 2, 2023, 6:09 p.m.