checkSpecif: Tests to check the model specifications

Description Usage Arguments Details Author(s) References See Also Examples

View source: R/checkSpecification.R

Description

Tests to check the model specifications

Usage

1
checkSpecif(obj1, obj2, level = 0.05)

Arguments

obj1
  • If obj2 is left unspecified the specification test proposed by Kneip, Sickles, and Song (2012) is computed. In this case obj1 can be an object of class 'KSS' or 'Eup'. The given KSS- or Eup-model needs unspecified factor dimensions (factor.dim=NULL). See also the Details.

  • If obj2 is specified by an object of class 'Eup' the Hausman-type test proposed by Bai (2009) is computed, which compares the model in obj1 with the model in obj2. The Hausman-type test of Bai applies to 'Eup'-objects only. See also the Details.

obj2

An object of class 'Eup'. If obj2 is left unspecified the test proposed by Kneip, Sickles, and Song (2012) is computed.

level

The significance level.

Details

This function is equipped with two types of specification-tests:

Author(s)

Oualid Bada, Dominik Liebl

References

See Also

KSS, Eup, OptDim

Examples

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## See the example in 'help(Cigar)' in order to take a look at the
## data set 'Cigar'

##########
## DATA ##
##########

data(Cigar)
## Panel-Dimensions:
N <- 46
T <- 30
## Dependent variable:
  ## Cigarette-Sales per Capita
  l.Consumption      <- log(matrix(Cigar$sales, T,N))
  d.l.Consumption    <- diff(l.Consumption)
## Independent variables:
  ## Consumer Price Index
  cpi           <- matrix(Cigar$cpi, T,N)
  ## Real Price per Pack of Cigarettes 
  l.Price       <- log(matrix(Cigar$price, T,N)/cpi)
  d.l.Price     <- diff(l.Price)
  ## Real Disposable Income per Capita  
  l.Income      <- log(matrix(Cigar$ndi,   T,N)/cpi)
  d.l.Income    <- diff(l.Income)

#####################################################################
## Testing the Sufficiency of a classical 'twoways' effects model: ##
## Hausman-type Test of Bai (2009)                                 ##
#####################################################################

## Model under the null Hypothesis:
twoways.obj <- Eup(d.l.Consumption ~ -1 + d.l.Price + d.l.Income,
	factor.dim = 0, additive.effects = "twoways")

## Model under the alternative Hypothesis:
not.twoways.obj <- Eup(d.l.Consumption ~ -1 + d.l.Price + d.l.Income,
	factor.dim = 2, additive.effects = "none")

###########
## Test: ##
###########

## (This test returns an error message, since the (unobserved) true
## factor dimension is probably greater than 2.)
## Not run: 
checkSpecif(obj1 = twoways.obj, obj2 = not.twoways.obj, level = 0.01)

## End(Not run)

#####################################################################
## Testing the Existence of additional (unobserved) common Factors ##
## Specification Test of Kneip, Sickles, and Song (2012)           ##
#####################################################################

## For the model of Bai (2009):
Eup.obj <- Eup(d.l.Consumption ~ -1 + d.l.Price + d.l.Income,
	   additive.effects = "twoways")

## Test:
checkSpecif(Eup.obj, level = 0.01)

## For the model of Kneip, Sickles, and Song (2012):
KSS.obj <- KSS(l.Consumption ~ -1 + l.Price + l.Income,
	   additive.effects = "twoways")

## Test:
checkSpecif(KSS.obj, level = 0.01)

phtt documentation built on May 30, 2017, 12:30 a.m.

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