similar to: tests on polr object

Hi all, I'm getting contradictory results from bptest and ncvTest on a model calculated by GLS as: olslm = lm(log(rr)~log(aloi)*reg*inv, data) varlm = lm(I(residuals(olslm)^2)~log(aloi)*reg*inv, data) glslm = lm(log(rr)~log(aloi)*reg*inv, data, weights=1/fitted(varlm)) Testing both olslm and glslm with both ncvTest and bptest gives: > ncvTest(olslm) Non-constant Variance Score Test

Hi I'm very new to R but have plenty of experience with statistics and other packages like SPSS, SAS etc. I have a dataset of around 20 columns and 200 rows. I'm trying to fit a very simple linear model between two variables. Having done so, I want to test the model for heteroscedasticity using the Breusch-Pagan test. Apparently this is easy in R by simply doing bptest(modelCH,

data:http://fmwww.bc.edu/ec-p/data/wooldridge/CRIME4.dta > a$call lm(formula = clcrmrte ~ factor(year) + clprbarr + clprbcon + clprbpri + clavgsen + clpolpc, data = cri) > bptest(a,st=F) Breusch-Pagan test data: a BP = 34.4936, df = 10, p-value = 0.0001523 > bptest(a,st=T) studentized Breusch-Pagan test data: a BP = 10.9297, df = 10, p-value = 0.363 >

Dear all, Trying to test for heteroskedasticity I tried several test from the car package respectively lmtest. Now that they produce rather different results i am somewhat clueless how to deal with it. Here is what I did: 1. I plotted fitted.values vs residuals and somewhat intuitively believe, it isn't really increasing... 2. further I ran the following tests bptest (studentized

Hi r-programmers, I performe Breusch-Pagan tests (bptest in package lmtest) to check the homoscedasticity of the residuals from a linear model and I carry out carry out White's test via bptest (formula, ~ x * z + I(x^2) + I(z^2)) include all regressors and the squares/cross-products in the auxiliary regression. But what can I do if I want find coefficient and p-values of variables x, z, x*z,

I'm new to R and some what new to the world of stats. I got frustrated with excel and found R. Enough of that already. I'm trying to test and correct for Heteroskedasticity I have data in a csv file that I load and store in a dataframe. > ds <- read.csv("book2.csv") > df <- data.frame(ds) I then preform a OLS regression: > lmfit <- lm(df$y~df$x) To

Hi, I'm dealing with time series. I usually use stl() to estimate trend, stagionality and residuals. I test for normality of residuals using shapiro.test(), but I can't test for autocorrelation and heteroskedasticity. Is there a way to perform Durbin-Watson test and Breusch-Pagan test (or other simalar tests) for time series? I find dwtest() and bptest() in the package lmtest, but it

Respected Sir, I am doing a project on multiple linear model fitting and in that project I have to test Homoscedesticity of errors I have google for the same and found bptest for the same but in R version 3.2.4 bp test is not available. So please suggest me a test on homoscedesticity ASAP as we have to submit our report on 7-04-2016. P.S. : I have plotted residuals against fitted values and it is

On Mon, 4 Apr 2016, varin sacha via R-help wrote: > Hi Deepak, > > In econometrics there is another test very often used : the white test. > The white test is based on the comparison of the estimated variances of > residuals when the model is estimated by OLS under the assumption of > homoscedasticity and when the model is estimated by OLS under the > assumption of

Hello, Is there a way to perform a White test (testing heteroscedasticity) under R? Best regards, Afrae Hassouni

Hi Deepak, In econometrics there is another test very often used : the white test. The white test is based on the comparison of the estimated variances of residuals when the model is estimated by OLS under the assumption of homoscedasticity and when the model is estimated by OLS under the assumption of heteroscedastic. The White test with R install.packages("bstats") library(bstats)

I'm analizing the Argentina stock market (merv) I download the data from yahoo library(tseries) Argentina <- get.hist.quote(instrument="^MERV","1996-10-08","2003-11-03", quote="Close") merv <- na.remove(log(Argentina)) I made the Augmented Dickey-Fuller test to analyse if merv have unit root: adf.test(merv,k=13) Dickey-Fuller = -1.4645,

Hi R-programmers, I can't find find the White test to check the homoscedasticity of the residuals from a linear model. Could you please help me with this? Thank you ! BC [[alternative HTML version deleted]]

I would like to do the Durban-Watson test on a time series of log returns. 2 questions: 1) If I am just trying to find out if there is serial correlation, what do I do for the residuals? there is no model, so do I just use the log returns (time series) itself? 2) what is the code in R to accomplish this? Regards [[alternative HTML version deleted]]

Buen dia!! Pues me encuentro trabajando con un conjunto de datos simulados que se ajustan a un modelo Ar(1) y pues queria saber si existe un comando para realizarle una prueba de homocedasticidad, pues la prueba que hay en el R es la bartlett.test pero pues no estoy muy seguro para usarla. Gracias [[alternative HTML version deleted]]

Hello! I have a data frame mysample (sorry for a long way of creating it below - but I need it in this form, and it works). I regress Y onto X1 through X11 - first without weights, then with weights: regtest1<-lm(Y~., data=mysample[-13])) regtest2<-lm(Y~., data=mysample[-13]),weights=mysample$weight) summary(regtest1) summary(regtest2) Then I calculate Durbin-Watson for both regressions

This code consistenly segfaults for me. Can someone please take a look and tell me if the problem is due to something I am doing or is there a problems with the dwt (idwt) functions in the waveslim library. Thanks tom library(waveslim)

hi everyone . I am trying to use some packages but there are some functions have the same name in different package. for example dwt function both in packages wavelets and waveslim dwt(X, filter="la8", n.levels, boundary="periodic") How can I avoid mixing them up ? -- TANG Jie Email: totangjie@gmail.com Tel: 0086-2154896104 Shanghai Typhoon Institute,China

Hello to everyone, I have 2 problems and would be very pleased if anyone can help me: 1) When I use the package "systemfit" for SUR regressions, I get two different variance-covariance matrices when I firstly do the SUR regression ("The covariance matrix of the residuals used for estimation") and secondly do the OLS regressions. In the manual for "systemfit" on page

Can someone please help me understand the examples given in the dwt function of the waveslim library library(waveslim) ?dwt I'm having a problem understanding these lines. I assume they are required because of how the algorythm deals with the signal bounderies. Am I correct in thinking that for wavelets of scale 1 and 2, the coefiecints need to be shifted by 2 places, for scale 3 and 4 shift