bc.test: Box-Cox Test

In desk: Didactic Econometrics Starter Kit

Box-Cox Test

Description

Box-Cox test for functional form. Compares a base model with non transformed endogenous variable to a model with logarithmic endogenous variable. Exogenous variables can be transformed or non-transformed. The object of test results returned by this command can be plotted using the plot() function.

Usage

bc.test(
  basemod,
  data = list(),
  exo = "same",
  sig.level = 0.05,
  details = TRUE,
  hyp = TRUE
)

Arguments

basemod	estimated linear model object or formula taken as the base model for comparison. Has to have a non-transformed endogenous variable.
data	if mod is a formula then the corresponding data frame has to be specified.
exo	vector or matrix of transformed exogenous variables to be used in the comparison model. If not specified the same variables from the base model are used ("same").
sig.level	significance level. Default value: sig.level = 0.05.
details	logical value indicating whether specific details about the test should be returned.
hyp	logical value indicating whether the Hypotheses should be returned.

Value

A list object including:

hyp	character matrix of hypotheses (if hyp = TRUE).
results	a data frame of basic test results.
stats	additional statistic of aux. regression.
nulldist	type of the Null distribution with its parameters.

References

Box, G.E.P. & Cox, D.R. (1964): An Analysis of Transformations. Journal of the Royal Statistical Society, Series B. 26, 211-243.

See Also

boxcox.

Examples

## Box-Cox test between a semi-logarithmic model and a logarithmic model
semilogmilk.est <- ols(milk ~ log(feed), data = data.milk)
results <- bc.test(semilogmilk.est, details = TRUE)

## Plot the test results
plot(results)

## Example with transformed exogenous variables
lin.est <- ols(rent ~ mult + mem + access, data = data.comp)
A <- lin.est$data
bc.test(lin.est, exo = log(cbind(A$mult, A$mem, A$access)))

desk documentation built on May 29, 2024, 6:05 a.m.