encomptest | R Documentation |

`encomptest`

performs the encompassing test of Davidson & MacKinnon
for comparing non-nested models.

encomptest(formula1, formula2, data = list(), vcov. = NULL, ...)

`formula1` |
either a symbolic description for the first model to be tested,
or a fitted object of class |

`formula2` |
either a symbolic description for the second model to be tested,
or a fitted object of class |

`data` |
an optional data frame containing the variables in the
model. By default the variables are taken from the environment
which |

`vcov.` |
a function for estimating the covariance matrix of the regression
coefficients, e.g., |

`...` |
further arguments passed to |

To compare two non-nested models, the encompassing test fits an encompassing
model which contains all regressors from both models such that the two
models are nested within the encompassing model. A Wald test for comparing
each of the models with the encompassing model is carried out by `waldtest`

.

For further details, see the references.

An object of class `"anova"`

which contains the residual degrees of freedom
in the encompassing model, the difference in degrees of freedom, Wald statistic
(either `"F"`

or `"Chisq"`

) and corresponding p value.

R. Davidson & J. MacKinnon (1993). *Estimation and Inference in Econometrics*.
New York, Oxford University Press.

W. H. Greene (1993), *Econometric Analysis*, 2nd ed. Macmillan Publishing Company, New York.

W. H. Greene (2003). *Econometric Analysis*, 5th ed. New Jersey, Prentice Hall.

`coxtest`

, `jtest`

## Fit two competing, non-nested models for aggregate ## consumption, as in Greene (1993), Examples 7.11 and 7.12 ## load data and compute lags data(USDistLag) usdl <- na.contiguous(cbind(USDistLag, lag(USDistLag, k = -1))) colnames(usdl) <- c("con", "gnp", "con1", "gnp1") ## C(t) = a0 + a1*Y(t) + a2*C(t-1) + u fm1 <- lm(con ~ gnp + con1, data = usdl) ## C(t) = b0 + b1*Y(t) + b2*Y(t-1) + v fm2 <- lm(con ~ gnp + gnp1, data = usdl) ## Encompassing model fm3 <- lm(con ~ gnp + con1 + gnp1, data = usdl) ## Cox test in both directions: coxtest(fm1, fm2) ## ...and do the same for jtest() and encomptest(). ## Notice that in this particular case they are coincident. jtest(fm1, fm2) encomptest(fm1, fm2) ## the encompassing test is essentially waldtest(fm1, fm3, fm2)

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

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