glance.coeftest: Glance at a(n) coeftest object

Description

Glance accepts a model object and returns a tibble::tibble() with exactly one row of model summaries. The summaries are typically goodness of fit measures, p-values for hypothesis tests on residuals, or model convergence information.

Glance never returns information from the original call to the modeling function. This includes the name of the modeling function or any arguments passed to the modeling function.

Glance does not calculate summary measures. Rather, it farms out these computations to appropriate methods and gathers the results together. Sometimes a goodness of fit measure will be undefined. In these cases the measure will be reported as NA.

Glance returns the same number of columns regardless of whether the model matrix is rank-deficient or not. If so, entries in columns that no longer have a well-defined value are filled in with an NA of the appropriate type.

Usage

# S3 method for coeftest
glance(x, ...)

Value

A tibble::tibble() with exactly one row and columns:

adj.r.squared: Adjusted R squared statistic, which is like the R squared statistic except taking degrees of freedom into account.
AIC: Akaike's Information Criterion for the model.
BIC: Bayesian Information Criterion for the model.
deviance: Deviance of the model.
df: Degrees of freedom used by the model.
df.residual: Residual degrees of freedom.
logLik: The log-likelihood of the model. [stats::logLik()] may be a useful reference.
nobs: Number of observations used.
p.value: P-value corresponding to the test statistic.
r.squared: R squared statistic, or the percent of variation explained by the model. Also known as the coefficient of determination.
sigma: Estimated standard error of the residuals.
statistic: Test statistic.

Arguments

x

A coeftest object returned from lmtest::coeftest().

...

Additional arguments. Not used. Needed to match generic signature only. Cautionary note: Misspelled arguments will be absorbed in ..., where they will be ignored. If the misspelled argument has a default value, the default value will be used. For example, if you pass conf.lvel = 0.9, all computation will proceed using conf.level = 0.95. Two exceptions here are:

tidy() methods will warn when supplied an exponentiate argument if it will be ignored.
augment() methods will warn when supplied a newdata argument if it will be ignored.

References

Wooldridge, Jeffrey M. (2016) Introductory econometrics: A modern approach. (6th edition). Nelson Education.

Examples

Run this code

if (FALSE) { # rlang::is_installed("lmtest")

# load libraries for models and data
library(lmtest)

m <- lm(dist ~ speed, data = cars)

coeftest(m) 
tidy(coeftest(m))
tidy(coeftest(m, conf.int = TRUE))

# a very common workflow is to combine lmtest::coeftest with alternate
# variance-covariance matrices via the sandwich package. The lmtest
# tidiers support this workflow too, enabling you to adjust the standard
# errors of your tidied models on the fly.
library(sandwich)

# "HC3" (default) robust SEs
tidy(coeftest(m, vcov = vcovHC))       

# "HC2" robust SEs               
tidy(coeftest(m, vcov = vcovHC, type = "HC2")) 

# N-W HAC robust SEs
tidy(coeftest(m, vcov = NeweyWest))            

# the columns of the returned tibble for glance.coeftest() will vary 
# depending on whether the coeftest object retains the underlying model.
# Users can control this with the "save = TRUE" argument of coeftest().
glance(coeftest(m))
glance(coeftest(m, save = TRUE))
}