search for: bgtest

...using the function {aidsEst} in package [micEcon] to do an AIDS model now. So far, everything is good. But I want to test the auto correlation and heteroskedasticity of the individual equation from AIDS demand system. How can I return the individual equation? PS: serial correlation test is {bgtest} in package [lmtest] and heteroskedasticity is {bptest} in package [lmtest], both of which need the object of formula. Thank you for your answer. Christina [[alternative HTML version deleted]]

> Dear R Helpers! > > bgtest{lmtest} performs the Breusch-Godfrey test for higher > order serial > correlation. > > Is the Higher Order Correlation function already programmed in > R I couldn't find it? > > Sergei Petrov > ?acf ?pacf HTH, Bernhard ------------------------------------------...

...tion both in the data and in the residuals? If we limit our worries to the residuals, it looks like we have a variety of tests for lag=1: stats::cor.test(residuals(fm)[-n], residuals(fm)[-1]) stats::Box.test(residuals(fm)) lmtest::dwtest(fm, alternative="two.sided") lmtest::bgtest(fm, type="F") In my model, a simple lm(y~x1+x2) with n=20 annual measurements, I have significant _positive_ autocorrelation within Y and within both X vectors, but _negative_ autocorrelation in the residuals. The residual autocorrelation is not quite significant, with the p-values...

...) in a spreadsheet and import it to R, which is not very satisfactory because it does not allow for much flexibility. Is there a straighforward command which allows me to easily construct a lag when required and which allows me to, for example, use the lm() command to fit a dynamic model and the bgtest() command to perform the breusch-godfrey test on the same model? Is it adviseable to use time series objects which consist of many time series (like a dataframe) or is it better to have it contain only one time series? I would be grateful for any hints and links. Thx! Christian

...e.html. At this point, the image is simply displayed at it''s native size and does not resize If I comment out prototype, there is no error and the resize works as expected. I''ve uploaded a zip of a tiny example to demonstrate the problem. You can grab it at... http://nedron.net/bgtest.zip Any help or pointers would be appreciated. -David --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Ruby on Rails: Spinoffs" group. To post to this group, send email to rubyonrails-spinoffs-/JYPxA39Uh5TLH...

...adm.br/main/ex_32.csv --no-check-certificate", "ex_32.csv", method="wget") ex32=read.csv("ex_32.csv") lm_ex32=lm(gc ~ yd, data=ex32) summary(lm_ex32) # Durbin-Watson (slide 26) library(lmtest) dwtest(gc ~ yd, data=ex32) # or dwtest(lm_ex32) # Breusch-Godfrey bgtest(lm_ex32, order=2) # AR(1) # In e-views, the specification was: # GC = YD AR(1) # and the output was: # Dependent Variable: GC # Method: Least Squares # Sample: 1970Q2 1995Q2 # Included observations: 101 # Convergence achieved after 6 interations # ================================================...

...on of the package `lmtest' for testing linear regression models on CRAN. Except for a couple of minor bug fixes, there are essentially these new features: o added Breusch-Godfrey test for serial correlation (thanks to David M. Mitchell who provided the initial version of the code for bgtest) o new data sets: mandible measurements in fetuses, US macroecnomic time series o the Durbin-Watson test dwtest() now takes an alternative argument. The default is to test for positive autocorrelation (which was the only option before). o a vignette, which describes the packag...

...amework for restrictions on linear models has been implemented in some package? My goal is to test for omitted variables, i.e. restrictions of the kind beta_i=0, in the specification of an econometric model. There are some particular implementations in this fashion in the lmtest package (e,g, the bgtest() function, where the lagged residuals are taken as the omitted variable); before trying to adapt that code, I would like to check out if there are ready-to-use solutions available. Thanks in advance Giovanni Giovanni Millo Research Dept. Assicurazioni Generali SpA Ai sensi del D.Lgs.196/2003 s...

I was wondering if anyone could help with choosing optimal lag length for ZA test. There have been two lag order selection methods commonly used in the literature: 1) The ZA paper recommends to run the test with maximum number of lags. Then the lag order is reduced sequentially until the longest lag is statistically significant; 2) One could also use AIC or SBC or other criteria to choose lag