car (version 2.0-15)

ncvTest: Score Test for Non-Constant Error Variance

Description

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.

Usage

ncvTest(model, ...)

## S3 method for class 'lm':
ncvTest(model, var.formula, ...)

## S3 method for class 'glm':
ncvTest(model, ...) # to report an error

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.

...

arguments passed down to methods functions; not currently used.

Value

• The function returns a chisqTest object, which is usually just printed.

Details

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

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. (2008) Applied Regression Analysis and Generalized Linear Models, Second Edition. Sage. Fox, J. and Weisberg, S. (2011) An R Companion to Applied Regression, Second Edition, Sage. Weisberg, S. (2005) Applied Linear Regression, Third Edition, Wiley.

See Also

hccm, spreadLevelPlot

Examples

ncvTest(lm(interlocks ~ assets + sector + nation, data=Ornstein))

ncvTest(lm(interlocks ~ assets + sector + nation, data=Ornstein), 
    ~ assets + sector + nation, data=Ornstein)