hypothmat: General Linear Tests of the regression coefficients

In DBfit: A Double Bootstrap Method for Analyzing Linear Models with Autoregressive Errors

Description

Performs general linear tests of the regressio coefficients.

Usage

hypothmat(sfit, mmat, n, p)

Arguments

sfit	the result of a call to dbfit.
mmat	a full row rank q*(p+1) matrix, where q is the row number of the matrix and p is number of independent variables.
n	total number of observations.
p	number of independent variables.

Details

This functions performs the general linear F-test of the form H0: Mb = 0 vs HA: Mb != 0.

Value

tst	the test statistic
pvf	the p-value of the F-test

References

McKnight, S. D., McKean, J. W., and Huitema, B. E. (2000). A double bootstrap method to analyze linear models with autoregressive error terms. Psychological methods, 5 (1), 87. Shaofeng Zhang (2017). Ph.D. Dissertation.

Examples

# data(testdata)
# y<-testdata[,5]
# x<-testdata[,1:4]
# fit1<-dbfit(x,y,1) # OLS fit, default
# a test that H0: b1 = b3 vs HA: b1 != b3
# mat<-matrix(c(1,0,0,-1),nrow=1) 
# hypothmat(sfit=fit1,mmat=mat,n=40,p=4)

DBfit documentation built on May 1, 2021, 1:09 a.m.