

gqtest(lmtest)                               R Documentation

_G_o_l_d_f_e_l_d_-_Q_u_a_n_d_t_-_T_e_s_t

_D_e_s_c_r_i_p_t_i_o_n_:

     `gqtest' performs the Goldfeld-Quandt-Test against het-
     eroskadasticity.  Given a known time `T', the Goldfeld-
     Quandt tests the null-hypothesis: variances at time
     1..T and T..n are equal.

_U_s_a_g_e_:

     raintest(formula, data=list())

_A_r_g_u_m_e_n_t_s_:

 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

_D_e_t_a_i_l_s_:

     The test statistic under H0 follows a F distribution
     with df1 and df2 degree of freedom.

_V_a_l_u_e_:

     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.

_A_u_t_h_o_r_(_s_)_:

     Torsten Hothorn <hothorn@amadeus.statistik.uni-dort-
     mund.de>

_R_e_f_e_r_e_n_c_e_s_:

     Kraemer, W., Sonnberger, H. (1986): The linear regres-
     sion model under test

_S_e_e _A_l_s_o_:

     `lm'

_E_x_a_m_p_l_e_s_:

     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]);

