Test for heteroskedasticity under the assumption that the errors are independent and identically distributed (i.i.d.).
ols_test_score(model, fitted_values = TRUE, rhs = FALSE, vars = NULL)
model | An object of class |
---|---|
fitted_values | Logical; if TRUE, use fitted values of regression model. |
rhs | Logical; if TRUE, specifies that tests for heteroskedasticity be performed for the right-hand-side (explanatory) variables of the fitted regression model. |
vars | Variables to be used for for heteroskedasticity test. |
ols_test_score
returns an object of class "ols_test_score"
.
An object of class "ols_test_score"
is a list containing the
following components:
f statistic
p value of score
degrees of freedom
fitted values of the regression model
names of explanatory variables of fitted regression model
response variable
predictors
ols_score_test()
has been deprecated. Instead use ols_test_score()
.
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.
Koenker, R. 1981. A note on studentizing a test for heteroskedasticity. Journal of Econometrics 17: 107–112.
Other heteroskedasticity tests: ols_test_bartlett
,
ols_test_breusch_pagan
,
ols_test_f
# model model <- lm(mpg ~ disp + hp + wt, data = mtcars) # using fitted values of the model ols_test_score(model)#> #> Score Test for Heteroskedasticity #> --------------------------------- #> Ho: Variance is homogenous #> Ha: Variance is not homogenous #> #> Variables: fitted values of mpg #> #> Test Summary #> ---------------------------- #> DF = 1 #> Chi2 = 0.6452907 #> Prob > Chi2 = 0.4218014# using predictors from the model ols_test_score(model, rhs = TRUE)#> #> Score Test for Heteroskedasticity #> --------------------------------- #> Ho: Variance is homogenous #> Ha: Variance is not homogenous #> #> Variables: disp hp wt #> #> Test Summary #> ---------------------------- #> DF = 3 #> Chi2 = 0.945898 #> Prob > Chi2 = 0.8143398#> Error in subtract(., 1): could not find function "subtract"