Description Details Author(s) References Examples
Tests for heteroskedastic residuals in a VAR model.
Package: | het.test |
Type: | Package |
Version: | 0.1 |
Date: | 2013-02-27 |
License: | GPL-2 |
Depends: | vars , methods |
The test function is whites.htest()
.
Sebastian Andersson
Maintainer: Sebastian Andersson <sebastian.andersson@statistik.uu.se>
Doornik, J. A. (1996). Testing vector error autocorrelation and heteroscedasticity. unpublished paper, Nuffield College.
1 2 3 4 | library(vars)
dataset <- data.frame(x=rnorm(100), y=rnorm(100))
model1 <- VAR(dataset, p = 1)
whites.htest(model1)
|
Loading required package: vars
Loading required package: MASS
Loading required package: strucchange
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: sandwich
Loading required package: urca
Loading required package: lmtest
White's Test for Heteroskedasticity:
====================================
No Cross Terms
H0: Homoskedasticity
H1: Heteroskedasticity
Test Statistic:
8.5997
Degrees of Freedom:
12
P-value:
0.7367
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.