glejser | R Documentation |
This function implements the method of \insertCiteGlejser69;textualskedastic for testing for "multiplicative" heteroskedasticity in a linear regression model. \insertCiteMittelhammer00;textualskedastic gives the formulation of the test used here.
glejser(
mainlm,
auxdesign = NA,
sigmaest = c("main", "auxiliary"),
statonly = FALSE
)
mainlm |
Either an object of |
auxdesign |
A |
sigmaest |
A character indicating which model residuals to use in the
|
statonly |
A logical. If |
Glejser's Test entails fitting an auxiliary regression model in
which the response variable is the absolute residual from the original
model and the design matrix Z
consists of one or more exogenous
variables that are suspected of being related to the error variance.
In the absence of prior information on a possible choice of Z
,
one would typically use the explanatory variables from the original model.
Under the null hypothesis of homoskedasticity, the distribution of the
test statistic is asymptotically chi-squared with parameter
degrees
of freedom. The test is right-tailed.
An object of class
"htest"
. If object is
not assigned, its attributes are displayed in the console as a
tibble
using tidy
.
the description of the test in SHAZAM software (which produces identical results).
mtcars_lm <- lm(mpg ~ wt + qsec + am, data = mtcars)
glejser(mtcars_lm)
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