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

$statisticthe test statistic
$p.valuethe p-value
$degreesthe number of degrees of freedom
$res.productsthe residual cross products matrix
$lagged.variablesmatrix with the lagged variables
$rcovthe estimated Omega matrix in Doornik
$ucovtranspose matrix of auxiliary residuals times itself, divided by T - k
$callthe function call

References

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 unpublished paper, Nuffield College.

Examples

Run this code

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