dominguez_lobato_test: Tests the specification of a linear model using...

In FedericoGarza/lineartestr: Linear Specification Testing

Description

Tests the specification of a linear model using wild-bootstrap.

Usage

dominguez_lobato_test(
  model,
  distribution = "rnorm",
  statistic = "cvm_value",
  times = 300,
  quantiles = c(0.9, 0.95, 0.99),
  verbose = FALSE,
  n_cores = 1
)

Arguments

model	An existing fit from a model function such as 'lm', 'lfe' and others compatible with 'update'.
distribution	Type of noise added to residuals, ej 'rnorm' or 'rrademacher'.
statistic	Type of statistic to be used, can be one of 'cvm_value' or 'kmv_value'.
times	Number of bootstrap samples.
quantiles	Vector of quantiles to calculate pvalues.
verbose	TRUE to print each bootstrap iteration.
n_cores	Number of cores to be used.

Value

A list with dataframe results and the ordered values of each bootstrap iteration.

References

Manuel A. Dominguez and Ignacio N. Lobato (2019). Specification Testing with Estimated Variables. Econometric Reviews.

Examples

x <- 1:10 + rnorm(10)
y <- 1:10
model <- lm(y~x)
dl_test <- dominguez_lobato_test(model)
dl_test <- dominguez_lobato_test(model, distribution = "rmammen_point", statistic = "kmv_value")
dl_test <- dominguez_lobato_test(model, times = 100)

FedericoGarza/lineartestr documentation built on Jan. 31, 2021, 11:11 a.m.