Description Usage Arguments Details Value References See Also Examples

Goldfeld-Quandt test for heteroskedastic errors.

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`mod` |
Estimated linear model object or formula. If only a model formula is passed then the |

`data` |
If |

`split` |
Partitions the dataset into two groups. If <= 1 then |

`omit.obs` |
The number of central observations to be omitted. Might increase the power of the test.
If <= 1 then |

`ah` |
Character string specifying the type of the alternative hypothesis: "increasing" (variance increases from group 1 to group 2), "decreasing" (variance decreases from group 1 to group 2), "unequal" (variances are unequal between the groups). The default is to test for increasing variances. |

`order.by` |
Either a vector |

`sig.level` |
Significance level. Default value: sig.level = 0.05. |

`details` |
Logical value indicating whether specific details about the test should be returned. |

`hyp` |
Logical value indicating whether the Hypotheses should be returned. |

The Goldfeld-Quandt test compares the variances of two submodels
divided by a specified breakpoint and rejects if the variances differ.
Under *H_0* the test statistic of the Goldfeld-Quandt test follows an F
distribution with the degrees of freedom as given in the two groups.

This implementation of the test is based on `gqtest()`

from package `lmtest`

.

List including:

`hyp` | Character matrix of hypotheses (if hyp = TRUE). |

`results` | A dataframe of basic test results. |

`hreg1` | Matrix of regression results in Group I. |

`stats1` | Additional statistic of regression in Group I. |

`hreg2` | Matrix of regression results in Group II. |

`stats2` | Additional statistic of regression in Group II. |

`nulldist` | Type of the Null distribution with its parameters. |

S.M. Goldfeld & R.E. Quandt (1965),
Some Tests for Homoskedasticity.
*Journal of the American Statistical Association* **60**, 539–547

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andronikoss/desk documentation built on June 3, 2017, 7:05 p.m.

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