Harrison-McCabe-Test
Usage
raintest(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 'hmctest' is
called from
|
Description
hmctest
performs the Harrison-McCabe-Test against heteroskedasticity.Value
A list with class "htest"
containing the following components:
statistic
|
the value of the test statistic.
|
p.value
|
not yet implemented, NA.
|
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^2 + err;
formular <- y ~ x;
hmc <- hmctest(formular);