coefTestHAC: Linear Hypothesis Test (Time Series Data)

In dnepple/tprstats: TSB Statistics Package

Linear Hypothesis Test (Time Series Data)

Description

Tests a linear hypothesis about coefficients. The calculation corrects for possible presence of heteroskedasticity and autocorrelation using the method developed by Newey and West. This method is appropriate for time series data.

Usage

coefTestHAC(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

coefTestHAC(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.