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 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]);


[Package Contents]