bc.test: Box-Cox Test

Description

Box-Cox test for functional form. Compares a base model with non transformed endogenous variable to a model with logarithmic endogenous variable. Exogenous variables can be transformed or non-transformed. The object of test results returned by this command can be plotted using the plot() function.

Usage

bc.test(
  basemod,
  data = list(),
  exo = "same",
  sig.level = 0.05,
  details = TRUE,
  hyp = TRUE
)

Value

A list object including:

`hyp`	character matrix of hypotheses (if `hyp = TRUE`).
`results`	a data frame of basic test results.
`stats`	additional statistic of aux. regression.
`nulldist`	type of the Null distribution with its parameters.

Arguments

basemod: estimated linear model object or formula taken as the base model for comparison. Has to have a non-transformed endogenous variable.
data: if mod is a formula then the corresponding data frame has to be specified.
exo: vector or matrix of transformed exogenous variables to be used in the comparison model. If not specified the same variables from the base model are used ("same").
sig.level: significance level. Default value: sig.level = 0.05.
details: logical value indicating whether specific details about the test should be returned.
hyp: logical value indicating whether the Hypotheses should be returned.

References

Box, G.E.P. & Cox, D.R. (1964): An Analysis of Transformations. Journal of the Royal Statistical Society, Series B. 26, 211-243.

Examples

Run this code

## Box-Cox test between a semi-logarithmic model and a logarithmic model
semilogmilk.est <- ols(milk ~ log(feed), data = data.milk)
results <- bc.test(semilogmilk.est, details = TRUE)

## Plot the test results
plot(results)

## Example with transformed exogenous variables
lin.est <- ols(rent ~ mult + mem + access, data = data.comp)
A <- lin.est$data
bc.test(lin.est, exo = log(cbind(A$mult, A$mem, A$access)))