hett (version 0.3-3)

tscore: Score test for heteroscedastic t models

Description

Provides a score test for the location and scale parameters of the heteroscedastic t regression model.

Usage

tscore(..., data = NULL, scale = FALSE)

Arguments

...

Any number of arguments containing nested model fits from tlm() (see Details)

data

the data used to fit the models involved

scale

logical. If TRUE the scale model is tested

Value

Output containing the hypothesis, the score statistic, degrees of freedom for the test and the p-value are printed to the screen.

Details

The user must supply nested models that test, either, the scale or the location component of the model. The model objects must be nested from left to right. Currently there are no traps if the arguments are not given in this order.

The models must also have either, all fixed degrees of freedom or estimated degrees of freedom.

References

Taylor, J. D. & Verbyla, A. P (2004). Joint modelling of the location and scale parameters of the t-distribution. Statistical Modelling 4, 91-112.

See Also

tlm

Examples

# NOT RUN {
data(mm, package = "hett")
attach(mm)
tfit1 <- tlm(m.marietta ~ CRSP, ~ 1, data = mm, start = list(dof = 3),
estDof = TRUE)

tfit2 <- tlm(m.marietta ~ CRSP, ~ CRSP, data = mm, start = list(dof =
3), estDof = TRUE)

tscore(tfit1, tfit2, data = mm, scale = TRUE)
# }