# coeftest: Inference for Estimated Coefficients In lmtest: Testing Linear Regression Models

 coeftest R Documentation

## Inference for Estimated Coefficients

### Description

`coeftest` is a generic function for performing z and (quasi-)t Wald tests of estimated coefficients. `coefci` computes the corresponding Wald confidence intervals.

### Usage

```coeftest(x, vcov. = NULL, df = NULL, ...)

## Default S3 method:
coeftest(x, vcov. = NULL, df = NULL, ..., save = FALSE)

coefci(x, parm = NULL, level = 0.95, vcov. = NULL, df = NULL, ...)
```

### Arguments

 `x` an object (for details see below). `vcov.` a specification of the covariance matrix of the estimated coefficients. This can be specified as a matrix or as a function yielding a matrix when applied to `x`. `df` the degrees of freedom to be used. If this is a finite positive number a t test with `df` degrees of freedom is performed. In all other cases, a z test (using a normal approximation) is performed. By default it tries to use `x\$df.residual` and performs a z test if this is `NULL`. `...` further arguments passed to the methods and to `vcov.` in the default method. `save` logical. Should the object `x` itself be saved as an attribute? (This may be useful for further processing of `coeftest` objects, e.g., as part of model summaries.) `parm` a specification of which parameters are to be given confidence intervals, either a vector of numbers or a vector of names. If missing, all parameters are considered. `level` the confidence level required.

### Details

The generic function `coeftest` currently has a default method (which works in particular for `"lm"` objects) and dedicated methods for objects of class `"glm"` (as computed by `glm`), `"mlm"` (as computed by `lm` with multivariate responses), `"survreg"` (as computed by `survreg`), and `"breakpointsfull"` (as computed by `breakpoints.formula`).

The default method assumes that a `coef` methods exists, such that `coef(x)` yields the estimated coefficients.

To specify the corresponding covariance matrix `vcov.` to be used, there are three possibilities: 1. It is pre-computed and supplied in argument `vcov.`. 2. A function for extracting the covariance matrix from `x` is supplied, e.g., `sandwich`, `vcovHC`, `vcovCL`, or `vcovHAC` from package sandwich. 3. `vcov.` is set to `NULL`, then it is assumed that a `vcov` method exists, such that `vcov(x)` yields a covariance matrix. Illustrations are provided in the examples below.

The degrees of freedom `df` determine whether a normal approximation is used or a t distribution with `df` degrees of freedom. The default method computes `df.residual(x)` and if this is `NULL`, `0`, or `Inf` a z test is performed. The method for `"glm"` objects always uses `df = Inf` (i.e., a z test).

The corresponding Wald confidence intervals can be computed either by applying `coefci` to the original model or `confint` to the output of `coeftest`. See below for examples.

Finally, `nobs` and `logLik` methods are provided which work, provided that there are such methods for the original object `x`. In that case, `"nobs"` and `"logLik"` attributes are stored in the `coeftest` output so that they can be still queried subsequently. If both methods are available, `AIC` and `BIC` can also be applied.

### Value

`coeftest` returns an object of class `"coeftest"` which is essentially a coefficient matrix with columns containing the estimates, associated standard errors, test statistics and p values. Attributes for a `"method"` label, and the `"df"` are added along with `"nobs"` and `"logLik"` (provided that suitable extractor methods `nobs` and `logLik` are available). Optionally, the full object `x` can be `save`d in an attribute `"object"` to facilitate further model summaries based on the `coeftest` result.

`coefci` returns a matrix (or vector) with columns giving lower and upper confidence limits for each parameter. These will be labeled as (1-level)/2 and 1 - (1-level)/2 in percent.

`lm`, `waldtest`

### Examples

```## load data and fit model
data("Mandible", package = "lmtest")
fm <- lm(length ~ age, data = Mandible, subset=(age <= 28))

## the following commands lead to the same tests:
summary(fm)
(ct <- coeftest(fm))

## a z test (instead of a t test) can be performed by
coeftest(fm, df = Inf)

## corresponding confidence intervals
confint(ct)
coefci(fm)
## which in this simple case is equivalent to
confint(fm)

## extract further model information either from
## the original model or from the coeftest output
nobs(fm)
nobs(ct)
logLik(fm)
logLik(ct)
AIC(fm, ct)
BIC(fm, ct)

if(require("sandwich")) {
## a different covariance matrix can be also used:
(ct <- coeftest(fm, df = Inf, vcov = vcovHC))

## the corresponding confidence interval can be computed either as
confint(ct)
## or based on the original model
coefci(fm, df = Inf, vcov = vcovHC)

## note that the degrees of freedom _actually used_ can be extracted
df.residual(ct)
## which differ here from
df.residual(fm)

## vcov can also be supplied as a function with additional arguments
coeftest(fm, df = Inf, vcov = vcovHC, type = "HC0")
## or as a matrix
coeftest(fm, df = Inf, vcov = vcovHC(fm, type = "HC0"))
}
```

lmtest documentation built on March 22, 2022, 1:06 a.m.