ncv.test

From car v1.2-16 by John Fox

Score Test for Non-Constant Error Variance

Computes a score test of the hypothesis of constant error variance against the alternative that the error variance changes with the level of the response (fitted values), or with a linear combination of predictors.

Keywords: regression, htest

Usage

ncv.test(model, ...)

## S3 method for class 'lm':
ncv.test(model, var.formula, data=NULL, subset, na.action, ...)

## S3 method for class 'glm':
ncv.test(model, ...)

Arguments

model: a weighted or unweighted linear model, produced by lm.
var.formula: a one-sided formula for the error variance; if omitted, the error variance depends on the fitted values.
data: an optional data frame containing the variables in the model. By default the variables are taken from the environment from which ncv.test is called.
subset: an optional vector specifying a subset of observations to be used.
na.action: a function that indicates what should happen when the data contain NAs. The default is set by the na.action setting of options.
...: arguments passed down to methods functions.

Details

This test is often called the Breusch-Pagan test; it was independently suggested by Cook and Weisberg (1983). ncv.test.glm is a dummy function to generate an error when a glm model is used.

Value

The function returns a chisq.test object, which is usually just printed.

References

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. Fox, J. (1997) Applied Regression, Linear Models, and Related Methods. Sage.

Examples

ncv.test(lm(interlocks~assets+sector+nation, data=Ornstein))
## Non-constant Variance Score Test 
## Variance formula: ~ fitted.values 
## Chisquare = 46.98537    Df = 1     p = 7.151835e-12 
ncv.test(lm(interlocks~assets+sector+nation, data=Ornstein), 
    ~ assets+sector+nation, data=Ornstein)
## Non-constant Variance Score Test 
## Variance formula: ~ assets + sector + nation 
## Chisquare = 74.73535    Df = 13     p = 1.066320e-10

Documentation reproduced from package car, version 1.2-16, License: GPL (>= 2)

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