gqtest {lmtest}R Documentation

Goldfeld-Quandt-Test

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.

Usage

gqtest(formula, T, 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

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 <Torsten.Hothorn@rzmail.uni-erlangen.de>

References

Kraemer, W., Sonnberger, H. (1986): The linear regression model under test

See 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]);