ncvTest {car} | R Documentation |
Score Test for Non-Constant Error Variance
Description
Computes a score test of the hypothesis of constant error variance against the alternative that the error variance changes with the level of the response (fitted values), or with a linear combination of predictors.
Usage
ncvTest(model, ...)
## S3 method for class 'lm'
ncvTest(model, var.formula, ...)
## S3 method for class 'glm'
ncvTest(model, ...) # to report an error
Arguments
model |
a weighted or unweighted linear model, produced by |
var.formula |
a one-sided formula for the error variance; if omitted, the error variance depends on the fitted values. |
... |
arguments passed down to methods functions; not currently used. |
Details
This test is often called the Breusch-Pagan test; it was independently suggested with some extension by Cook and Weisberg (1983).
ncvTest.glm
is a dummy function to generate an error when a glm
model is used.
Value
The function returns a chisqTest
object, which is usually just printed.
Author(s)
John Fox jfox@mcmaster.ca, Sandy Weisberg sandy@umn.edu
References
Breusch, T. S. and Pagan, A. R. (1979) A simple test for heteroscedasticity and random coefficient variation. Econometrica 47, 1287–1294.
Cook, R. D. and Weisberg, S. (1983) Diagnostics for heteroscedasticity in regression. Biometrika 70, 1–10.
Fox, J. (2016) Applied Regression Analysis and Generalized Linear Models, Third Edition. Sage.
Fox, J. and Weisberg, S. (2019) An R Companion to Applied Regression, Third Edition, Sage.
Weisberg, S. (2014) Applied Linear Regression, Fourth Edition, Wiley.
See Also
Examples
ncvTest(lm(interlocks ~ assets + sector + nation, data=Ornstein))
ncvTest(lm(interlocks ~ assets + sector + nation, data=Ornstein),
~ assets + sector + nation, data=Ornstein)