testcoef.henv: Hypothesis test of the coefficients of the heteroscedastic...

View source: R/testcoef.henv.R

testcoef.henvR Documentation

Hypothesis test of the coefficients of the heteroscedastic envelope model


This function tests the null hypothesis L * beta * R = A versus the alternative hypothesis L * beta * R ~= A, where beta is estimated under the heteroscedastic envelope model.


testcoef.henv(m, L, R, A)



A list containing estimators and other statistics inherited from genv.


The matrix multiplied to beta on the left. It is a d1 by r matrix, while d1 is less than or equal to r.


The matrix multiplied to beta on the right. It is a p by d2 matrix, while d2 is less than or equal to p.


The matrix on the right hand side of the equation. It is a d1 by d2 matrix.

Note that inputs L, R and A must be matrices, if not, use as.matrix to convert them.


This function tests for hypothesis H0: L beta R = A, versus Ha: L beta R != A. The beta is estimated by the heteroscedastic envelope model. If L = Ir, R = Ip and A = 0, then the test is equivalent to the standard F test on if beta = 0. The test statistic used is vec(L beta R - A) hatSigma^-1 vec(L beta R - A)^T, where beta is the envelope estimator and hatSigma is the estimated asymptotic covariance of vec(L beta R - A). The reference distribution is chi-squared distribution with degrees of freedom d1 * d2.


The output is a list that contains following components.


The test statistic.


The degrees of freedom of the reference chi-squared distribution.


p-value of the test.


The covariance matrix of vec(L beta R).


X <- waterstrider[ , 1]
Y <- waterstrider[ , 2:5]

## Not run: m <- henv(X, Y, 2)
## Not run: m

L <- diag(4)
R <- matrix(c(1, -1, 0), 3, 1)
A <- matrix(0, 4, 1)

## Not run: test.res <- testcoef.henv(m, L, R, A)
## Not run: test.res

Renvlp documentation built on Aug. 8, 2022, 1:06 a.m.

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