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.
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