het.test (version 0.1)

whites.htest: White's Test for Heteroskedasticity

Description

whites.htest performs White's Test for Heteroskedasticity as outlined in Doornik (1996).

Usage

whites.htest(var.model)

Arguments

var.model

requires a varest object. Currently, the function does not support varest objects without a trend/intercept (but both may be used), with restrictions or with exogenous variables.

Value

• $statistic
  the test statistic
• $p.value
  the p-value
• $degrees
  the number of degrees of freedom
• $res.products
  the residual cross products matrix
• $lagged.variables
  matrix with the lagged variables
• $rcov
  the estimated Omega matrix in Doornik
• $ucov
  transpose matrix of auxiliary residuals times itself, divided by T - k
• $call
  the function call

References

Doornik, J. A. (1996). Testing vector error autocorrelation and heteroscedasticity. unpublished paper, Nuffield College.

Examples

library(vars)dataset <- data.frame(x=rnorm(100), y=rnorm(100))model1 <- VAR(dataset, p = 1)whites.htest(model1)