ols_test_score: Score test

In olsrr: Tools for Building OLS Regression Models

Score test

Description

Test for heteroskedasticity under the assumption that the errors are independent and identically distributed (i.i.d.).

Usage

ols_test_score(model, fitted_values = TRUE, rhs = FALSE, vars = NULL)

Arguments

model	An object of class lm.
fitted_values	Logical; if TRUE, use fitted values of regression model.
rhs	Logical; if TRUE, specifies that tests for heteroskedasticity be performed for the right-hand-side (explanatory) variables of the fitted regression model.
vars	Variables to be used for for heteroskedasticity test.

Value

ols_test_score returns an object of class "ols_test_score". An object of class "ols_test_score" is a list containing the following components:

score	f statistic
p	p value of score
df	degrees of freedom
fv	fitted values of the regression model
rhs	names of explanatory variables of fitted regression model
resp	response variable
preds	predictors

References

Breusch, T. S. and Pagan, A. R. (1979) A simple test for heteroscedasticity and random coefficient variation. Econometrica 47, 1287–1294.

Cook, R. D. and Weisberg, S. (1983) Diagnostics for heteroscedasticity in regression. Biometrika 70, 1–10.

Koenker, R. 1981. A note on studentizing a test for heteroskedasticity. Journal of Econometrics 17: 107–112.

See Also

Other heteroskedasticity tests: ols_test_bartlett(), ols_test_breusch_pagan(), ols_test_f()

Examples

# model
model <- lm(mpg ~ disp + hp + wt, data = mtcars)

# using fitted values of the model
ols_test_score(model)

# using predictors from the model
ols_test_score(model, rhs = TRUE)

# specify predictors from the model
ols_test_score(model, vars = c('disp', 'wt'))

olsrr documentation built on May 29, 2024, 12:35 p.m.