lmtest (version 0.2-1)

hmctest: Harrison-McCabe-Test

Description

hmctest performs the Harrison-McCabe-Test against heteroskedasticity.

Usage

hmctest(formula, T,  data=list())

Arguments

formula

a symbolic describtion for the model to be tested

T

split the model at time T

data

an optional data frame containing the variables in the model. By default the variables are taken from the environment which 'hmctest' is called from

Value

• A list with class "htest" containing the following components:
• statistic
  the value of the test statistic.
• p.value
  not yet implemented, NA.
• method
  a character string indicating what type of test was performed.
• data.name
  a character string giving the name(s) of the data.

References

Kraemer, W., Sonnberger, H. (1986): The linear regression model under test

See Also

lm

Examples

x <- c(1:30);
err <- c(rnorm(10,0,1), rnorm(20,0,10));
y <- x^2 + err;
formular <- y ~ x;
hmc <- hmctest(formular, 10);