ncvTest: Score Test for Non-Constant Error Variance

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/ncvTest.R

Description

Computes a score test of the hypothesis of constant error variance against the alternative that the error variance changes with the level of the response (fitted values), or with a linear combination of predictors.

Usage

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ncvTest(model, ...)

## S3 method for class 'lm'
ncvTest(model, var.formula, ...)

## S3 method for class 'glm'
ncvTest(model, ...) # to report an error

Arguments

model

a weighted or unweighted linear model, produced by lm.

var.formula

a one-sided formula for the error variance; if omitted, the error variance depends on the fitted values.

...

arguments passed down to methods functions; not currently used.

Details

This test is often called the Breusch-Pagan test; it was independently suggested with some extension by Cook and Weisberg (1983).

ncvTest.glm is a dummy function to generate an error when a glm model is used.

Value

The function returns a chisqTest object, which is usually just printed.

Author(s)

John Fox [email protected], Sandy Weisberg [email protected]

References

Breusch, T. S. and Pagan, A. R. (1979) A simple test for heteroscedasticity and random coefficient variation. Econometrica 47, 1287–1294.

Cook, R. D. and Weisberg, S. (1983) Diagnostics for heteroscedasticity in regression. Biometrika 70, 1–10.

Fox, J. (2008) Applied Regression Analysis and Generalized Linear Models, Second Edition. Sage.

Fox, J. and Weisberg, S. (2011) An R Companion to Applied Regression, Second Edition, Sage.

Weisberg, S. (2014) Applied Linear Regression, Fourth Edition, Wiley.

See Also

hccm, spreadLevelPlot

Examples

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ncvTest(lm(interlocks ~ assets + sector + nation, data=Ornstein))

ncvTest(lm(interlocks ~ assets + sector + nation, data=Ornstein), 
    ~ assets + sector + nation, data=Ornstein)

Example output

Non-constant Variance Score Test 
Variance formula: ~ fitted.values 
Chisquare = 46.98537    Df = 1     p = 7.151848e-12 
Non-constant Variance Score Test 
Variance formula: ~ assets + sector + nation 
Chisquare = 74.73535    Df = 13     p = 1.066321e-10 

car documentation built on Nov. 17, 2017, 2:16 p.m.