f_test_custom: F-test of regression's overall significance

In ARDL: ARDL, ECM and Bounds-Test for Cointegration

F-test of regression's overall significance

Description

f_test_custom performs an overall significance F-test on a regression. It is used along with .lm.fit to get the F-statistic as this is about 10 times faster than extracting it from a regression using lm.

Usage

f_test_custom(dep_var, indep_vars, model_res, const = TRUE)

Arguments

dep_var	A numeric vector or a matrix with one column representing the dependent variable.
indep_vars	A matrix representing the independent variables.
model_res	A numeric vector representing the regression's residuals.
const	A logical indicating whether the constant term should be restricted too.

Value

f_test_custom returns a list containing the F-statistic and the numerator's degrees of freedom.

Author(s)

Kleanthis Natsiopoulos, [e-mail]

See Also

vcov_custom f_bounds_sim t_bounds_simindependent

ARDL documentation built on Aug. 21, 2023, 9:10 a.m.