Goldfeld-Quandt-Test
Usage
raintest(formula, data=list())
Arguments
formula
|
a symbolic describtion for the model to be tested
|
T
|
split the model at time T
|
data
|
an optional data frame containing the variables in the model.
By default the variables are taken from the environment which 'gqtest' is
called from
|
Description
gqtest
performs the Goldfeld-Quandt-Test against heteroskadasticity.
Given a known time T
, the Goldfeld-Quandt tests the null-hypothesis:
variances at time 1..T and T..n are equal.Details
The test statistic under H0 follows a F distribution with df1 and df2 degree
of freedom.Value
A list with class "htest"
containing the following components:
statistic
|
the value of the test statistic.
|
p.value
|
the p-value of the test.
|
method
|
a character string indicating what type of test was
performed.
|
data.name
|
a character string giving the name(s) of the data.
|
Author(s)
Torsten Hothorn <hothorn@amadeus.statistik.uni-dortmund.de>References
Kraemer, W., Sonnberger, H. (1986): The linear regression model
under testSee Also
lm
Examples
x <- c(1:30);
err <- c(rnorm(10,0,1), rnorm(20,0,10));
y <- x + err;
formular <- y ~ x;
gq <- gqtest(formular, 10);
qf(0.95, gq$parameter[1], gq$parameter[2]);