lineartestr (version 1.0.0)

dominguez_lobato_test: Tests the specification of a linear model using wild-bootstrap.

Description

Tests the specification of a linear model using wild-bootstrap.

Usage

dominguez_lobato_test(
  model,
  distribution = "rnorm",
  statistic = "cvm_value",
  times = 300,
  quantiles = c(0.9, 0.95, 0.99),
  verbose = FALSE,
  n_cores = 1
)

Arguments

model

An existing fit from a model function such as `lm`, `lfe` and others compatible with `update`.

distribution

Type of noise added to residuals, ej `rnorm` or `rrademacher`.

statistic

Type of statistic to be used, can be one of `cvm_value` or `kmv_value`.

times

Number of bootstrap samples.

quantiles

Vector of quantiles to calculate pvalues.

verbose

TRUE to print each bootstrap iteration.

n_cores

Number of cores to be used.

Value

A list with dataframe results and the ordered values of each bootstrap iteration.

References

Manuel A. Dominguez and Ignacio N. Lobato (2019). Specification Testing with Estimated Variables. Econometric Reviews.

Examples

# NOT RUN {
x <- 1:10 + rnorm(10)
y <- 1:10
model <- lm(y~x)
dl_test <- dominguez_lobato_test(model)
dl_test <- dominguez_lobato_test(model, distribution = "rmammen_point", statistic = "kmv_value")
dl_test <- dominguez_lobato_test(model, times = 100)
# }