gq {AFR} | R Documentation |
Godfrey-Quandt test
Description
Godfrey-Quandt test is used to test against heteroskedasticity of a time-series
Usage
gq(
model,
point = 0.5,
fraction = 0,
alternative = c("greater", "two.sided", "less"),
order.by = NULL,
data = list()
)
Arguments
model |
is a (generalized)linear regression model |
point |
numerical. If point is smaller than 1 it is interpreted as percentages of data |
fraction |
numerical. The number of central observations to be omitted. |
alternative |
a character string specifying the alternative hypothesis. |
order.by |
Either a vector z or a formula with a single explanatory variable like ~ z |
data |
an optional data frame containing the variables in the model. |
References
Torsten, H., Zeileis, A., Farebrother, Richard W., Cummins, C., Millo, G., Mitchell, D., lmtest package Wang, B., 2014, bstats package
Examples
model <- lm(real_gdp ~ imp + exp + poil + eurkzt + tonia_rate, data = macroKZ)
gq(model)
[Package AFR version 0.3.5 Index]