gqtest {lmtest} | R Documentation |
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.
gqtest(formula, T, data=list())
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 |
The test statistic under H0 follows a F distribution with df1 and df2 degree of freedom.
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. |
Torsten Hothorn <Torsten.Hothorn@rzmail.uni-erlangen.de>
Kraemer, W., Sonnberger, H. (1986): The linear regression model under test
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]);