het.test: Package for White's Test for Heteroskedasticity

In het.test: White's Test for Heteroskedasticity

Description

Tests for heteroskedastic residuals in a VAR model.

Details

Package:	het.test
Type:	Package
Version:	0.1
Date:	2013-02-27
License:	GPL-2
Depends:	vars, methods

The test function is whites.htest().

Author(s)

Sebastian Andersson

Maintainer: Sebastian Andersson <[e-mail]>

References

Doornik, J. A. (1996). Testing vector error autocorrelation and heteroscedasticity. unpublished paper, Nuffield College.

Examples

library(vars)
dataset <- data.frame(x=rnorm(100), y=rnorm(100))
model1 <- VAR(dataset, p = 1)
whites.htest(model1)

Example output

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 

het.test documentation built on May 1, 2019, 6:31 p.m.