Description Usage Arguments Details Value Author(s)

Modified Breusch-Godfrey Statistic *\frac{n * R^2}{n}*.

1 | ```
breuschGodfrey(y, x, order = FALSE, fill = 0)
``` |

`y` |
A numeric vector. |

`x` |
A numeric vector. |

`order` |
Order to which residuals are lagged. Defaults to |

`fill` |
Defaults to |

NOTE: This function is a (very slightly) modified version
of `bgtest`

from the lmtest package (available at
https://github.com/cran/lmtest/blob/master/R/bgtest.R).
We have stripped it down to minimal functionality for our purposes.
All development credit goes to the authors of lmtest.

This function is a dependency for `rankLocReg`

where it is
used to calculate `bgN`

(Breusch-Godfrey Statistic) divided by the number
of observations *\frac{n * R^2}{n}*. For the purposes of `rankLocReg`

,
only the relative variance explained by the fitted values from the
auxiliary regression and the residuals of the original regression is of
interest. Calculating *\frac{n * R^2}{n}* preserves this information, while
avoiding the introduction of strong covariance between bgN and n; an
undesirable behaviour for the linearity metric L. If desired, users can
reproduce a standard Breusch-Godfrey Chi-squared test of significance
by running `qchisq`

with the output `bgN`

and `df`

.
However, we would recommend using the function `bgtest`

from the
package lmtest, as it is specifically designed for this purpose.

A list with: the standard BG statistic (`bg`

), BG/n (`bgN`

), and d.f. (`df`

).

Colin Olito.

colin-olito/LoLinR documentation built on May 13, 2019, 9:54 p.m.

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