VarianceTest

VarianceTest performs variance homogeneity tests including Ftest, Bartlett, Brown-Forsythe and Fligner-Killeen tests.

The estimation of static and dynamic connectedness measures is created in a modular and user-friendly way. Besides, the time domain connectedness approaches, this package further allows to estimate the frequency connectedness approach, the joint spillover index and the extended joint connectedness approach. In addition, all connectedness frameworks can be based upon orthogonalized and generalized VAR, QVAR, LASSO VAR, Ridge VAR, Elastic Net VAR and TVP-VAR models. Furthermore, the package includes the conditional, decomposed and partial connectedness measures as well as the pairwise connectedness index, influence index and corrected total connectedness index. Finally, a battery of datasets are available allowing to replicate a variety of connectedness papers.

David Gabauer

ConnectednessApproach

Connectedness Approach

VarianceTest function

<dl><dt>formula</dt>
<dd>a formula of the form lhs ~ rhs where lhs gives the sample values and rhs the corresponding groups.</dd>
<dt>data</dt>
<dd>a tibble or data frame containing the variables in the formula formula</dd>
<dt>alpha</dt>
<dd>the level of significance to assess variance homogeneity. Default is set to alpha = 0.05.</dd>
<dt>method</dt>
<dd>a character string to select one of the variance homogeneity tests: "Bartlett", "Brown-Forsythe", "Fisher" and "Fligner-Killeen".</dd>
<dt>na.rm</dt>
<dd>Ha logical value indicating whether NA values should be stripped before the computation proceeds.</dd></dl>

Arguments

Author

Variance Test — VarianceTest

<dl>

<dt>formula</dt>
<dd>a formula of the form lhs ~ rhs where lhs gives the sample values and rhs the corresponding groups.</dd>


<dt>data</dt>
<dd>a tibble or data frame containing the variables in the formula formula</dd>


<dt>alpha</dt>
<dd>the level of significance to assess variance homogeneity. Default is set to alpha = 0.05.</dd>


<dt>method</dt>
<dd>a character string to select one of the variance homogeneity tests: "Bartlett", "Brown-Forsythe", "Fisher" and "Fligner-Killeen".</dd>


<dt>na.rm</dt>
<dd>Ha logical value indicating whether NA values should be stripped before the computation proceeds.</dd>

</dl>

VarianceTest: Variance Test

Description

Usage

Value

Arguments

Author

References