coefTestH: Linear Hypothesis Test (Cross Section Data)

In dnepple/tprstats: TSB Statistics Package

Linear Hypothesis Test (Cross Section Data)

Description

Tests a linear hypothesis about coefficients. The calculation corrects for possible presence of heteroskedasticity using the method developed by White. This method is appropriate for cross-section data.

Usage

coefTestH(model, conditions)

Arguments

model	Regression model being tested.
conditions	Hypothesis being tested.

Details

Let the regression model be: linmod=lm(y~x1+x2+x3+x4)

To test the hypothesis that the coefficient of x1 equals the coefficient of x2 and that the coefficient of x3 equals twice the coefficient of x4

coefTestH(linmod,c("x1=x2","x3=2*x4"))

The F-statistic and p-value for the hypothesis test are reported.

dnepple/tprstats documentation built on April 5, 2025, 6:18 a.m.