GQtest {PooledMeanGroup}

GQtest

Description

Tests for homoscedasticity

Usage

GQtest(residuals, subsample, nep)

Arguments

residuals

residuals for group i

subsample

the vector of c(s1i, s2i), where s1i=Ti/2 and s2i=s1i+1 (if Ti is EVEN) or where s1i=Ti/2-0.5 and s2i=s1i+1 (if Ti is UNEVEN)

nep

the number of estimated parameters for group i

Details

Calculates F statistic with a prob

Value

F statistic with a prob

Author(s)

Lech Kujawski, Piotr Zientara

Examples

# creating artificial variables
x1=rnorm(30,0,1)
x2=rnorm(30,0,1)
e=rnorm(30,0,0.2)
y=1+2*x1+3*x2+e
# any model
model=lm(y~x1+x2)
#BGtest
ExpGQtest=GQtest(residuals=resid(model), subsample=c(15,16), nep=3)
ExpGQtest