het_test: LM test for heteroskedasticity
In jcpernias/ec1027: Data and Functions for the course EC1027 - Econometrics I

Description Usage Arguments Details Value Examples

View source: R/het_test.R

Fit an auxiliary regression of the squared MCO residual on the covariates specified in frml.

1	het_test(model, frml = NULL, chisq = FALSE)

`model`	an estimated model returned by `lm` or similar functions.
`frml`	an one-sided with the regressors of the auxiliary regression. If `NULL` all of the model regressors are used in the auxiliary regression.
`chisq`	if `TRUE` the LM statistic of the auxiliary regression is returned. By default is `FALSE` and the F statistic is computed.

By default, the test is the F statistic of the auxiliary regression. The LM version of the test is the product of the umber of observations and the R-squared and it is distributed as a χ^2 under the null hypothesis of homoskedasticity.

An object of class htest with components:

statistic: the value of the test statistic.
p.value: the p-value of the test.
parameter: degrees of freedom.
method: a character string indicating what type of test was performed.
data.name: a character string describing the model.

data("hprice1")

mod <- lm(price ~ sqrft + bdrms, data = hprice1)

# Test using all regressorn in mod
het_test(mod)

# Using sqrft only
het_test(mod, ~ sqrft)