petest | R Documentation |

`petest`

performs the MacKinnon-White-Davidson PE test for comparing
linear vs. log-linear specifications in linear regressions.

petest(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 |

The PE test compares two non-nest models where one has a linear
specification of type `y ~ x1 + x2`

and the other has a log-linear
specification of type `log(y) ~ z1 + z2`

. Typically, the
regressors in the latter model are logs of the regressors in the
former, i.e., `z1`

is `log(x1)`

etc.

The idea of the PE test is the following: If the linear specification is
correct then adding an auxiliary regressor with the difference of
the log-fitted values from both models should be non-significant.
Conversely, if the log-linear specification is correct then adding
an auxiliary regressor with the difference of fitted values in levels
should be non-significant. The PE test statistic is simply the marginal
test of the auxiliary variable(s) in the augmented model(s). In `petest`

this is performed by `coeftest`

.

For further details, see the references.

An object of class `"anova"`

which contains the coefficient estimate
of the auxiliary variables in the augmented regression plus corresponding
standard error, test statistic and p value.

W.H. Greene (2003). *Econometric Analysis*, 5th edition.
Upper Saddle River, NJ: Prentice Hall.

J. MacKinnon, H. White, R. Davidson (1983). Tests for Model Specification in the
Presence of Alternative Hypotheses: Some Further Results.
*Journal of Econometrics*, **21**, 53-70.

M. Verbeek (2004). *A Guide to Modern Econometrics*, 2nd ed. Chichester, UK: John Wiley.

`jtest`

, `coxtest`

, `encomptest`

if(require("AER")) { ## Verbeek (2004), Section 3 data("HousePrices", package = "AER") ### Verbeek (2004), Table 3.3 hp_lin <- lm(price ~ . , data = HousePrices) summary(hp_lin) ### Verbeek (2004), Table 3.2 hp_log <- update(hp_lin, log(price) ~ . - lotsize + log(lotsize)) summary(hp_log) ## PE test petest(hp_lin, hp_log) ## Greene (2003), Example 9.8 data("USMacroG", package = "AER") ## Greene (2003), Table 9.2 usm_lin <- lm(m1 ~ tbill + gdp, data = USMacroG) usm_log <- lm(log(m1) ~ log(tbill) + log(gdp), data = USMacroG) petest(usm_lin, usm_log) ## matches results from Greene's errata }

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

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