WhiteTest: White's Model Specification Test
In sasLM: 'SAS' Linear Model
WhiteTest R Documentation
White's Model Specification Test
Description
This is shown in SAS PROC REG as the Test of First and Second Moment Specification.
Usage
WhiteTest(rx)
Arguments
rx
a result of lm
Details
This is also called as White's general test for heteroskedasticity.
Value
Returns a direct test result by more coomplex theorem 2 , not by simpler corollary 1.
Author(s)
Kyun-Seop Bae k@acr.kr
References
White H. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica 1980;48(4):817-838.
Examples
WhiteTest(lm(mpg ~ disp, mtcars))
sasLM documentation built on Oct. 2, 2024, 9:06 a.m.
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| WhiteTest | R Documentation |
White's Model Specification Test
Description
This is shown in SAS PROC REG as the Test of First and Second Moment Specification.
Usage
WhiteTest(rx)
Arguments
rx |
a result of lm |
Details
This is also called as White's general test for heteroskedasticity.
Value
Returns a direct test result by more coomplex theorem 2 , not by simpler corollary 1.
Author(s)
Kyun-Seop Bae k@acr.kr
References
White H. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica 1980;48(4):817-838.
Examples
WhiteTest(lm(mpg ~ disp, mtcars))
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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