lmtest (version 0.2-2)

gqtest: Goldfeld-Quandt-Test

Description

gqtest performs the Goldfeld-Quandt-Test against heteroskadasticity. Given a known time T, the Goldfeld-Quandt tests the null-hypothesis: variances at time 1..T and T..n are equal.

Usage

gqtest(formula, T, data=list())

Arguments

formula

a symbolic describtion for the model to be tested

T

split the model at time T

data

an optional data frame containing the variables in the model. By default the variables are taken from the environment which 'gqtest' is called from

Value

• A list with class "htest" containing the following components:
• statistic
  the value of the test statistic.
• p.value
  the p-value of the test.
• method
  a character string indicating what type of test was performed.
• data.name
  a character string giving the name(s) of the data.

Details

The test statistic under H0 follows a F distribution with df1 and df2 degree of freedom.

References

Kraemer, W., Sonnberger, H. (1986): The linear regression model under test

See Also

lm

Examples

x <- c(1:30)
err <- c(rnorm(10,0,1), rnorm(20,0,10))
y <- x + err
formular <- y ~ x
gq <- gqtest(formular, 10)
qf(0.95, gq$parameter[1], gq$parameter[2])