https://github.com/cran/lmtest
Tip revision: a5ec31ffb6774e5efccefc917bd5135d62720e92 authored by Torsten Hothorn on 08 August 1977, 00:00:00 UTC
version 0.2-3
version 0.2-3
Tip revision: a5ec31f
gqtest.R
gqtest <- function(formula, T, data=list())
{
mf <- model.frame(formula, data=data);
y <- model.response(mf);
X <- model.matrix(formula, data=data);
n <- length(y);
k <- length(X[1,]);
mod1 <- lm(y[1:T] ~ X[1:T,]);
mod2 <- lm(y[(T+1):length(y)] ~ X[(T+1):length(y),]);
resi1 <- resid(mod1);
resi2 <- resid(mod2);
sresi1 <- sum(resi1^2);
sresi2 <- sum(resi2^2);
gq <- (sresi2/(n-T-k))/(sresi1/(T-k));
names(gq) <- "GQ";
freiheit <- c(T-k, n-T-k);
names(freiheit) <- c("df1", "df2");
RVAL <- list(statistic = gq,
parameter = freiheit,
method = "Goldfeld-Quandt-Test",
p.value= 1-pf(gq, n-T-k, T-k),
data.name="form1");
class(RVAL) <- "htest";
return(RVAL);
};