AFR (version 0.3.6)

gq: Godfrey-Quandt test

Description

Godfrey-Quandt test is used to test against heteroskedasticity of a time-series

Usage

gq(
  model,
  point = 0.5,
  fraction = 0,
  alternative = c("greater", "two.sided", "less"),
  order.by = NULL,
  data = list()
)

Arguments

model

is a (generalized)linear regression model

point

numerical. If point is smaller than 1 it is interpreted as percentages of data

fraction

numerical. The number of central observations to be omitted.

alternative

a character string specifying the alternative hypothesis.

order.by

Either a vector z or a formula with a single explanatory variable like ~ z

data

an optional data frame containing the variables in the model.

References

Torsten, H., Zeileis, A., Farebrother, Richard W., Cummins, C., Millo, G., Mitchell, D., lmtest package Wang, B., 2014, bstats package

Examples

model <- lm(real_gdp ~ imp + exp + poil + eurkzt + tonia_rate, data = macroKZ)
gq(model)