paramhetero (version 1.0.0)

compare_coef_vectors: Compare coefficient vectors across models

Description

Compare coefficient vectors, after removing intercept, across multiple models.

Usage

compare_coef_vectors(model_list)

Arguments

model_list

A list of regression models.

Value

List of test results. This includes the chi-squared statistic, degrees of freedom, and p-value.

Details

This function currently supports comparing coefficient vectors from two models. The intercepts of the models are removed, if they exist, and the coefficient vectors are compared by Hotelling's \(T^2\) test. This can be considered as an initial omnibus test for differences among the coefficients before searching through all coefficients for individual differences using, for example, compare_coefs.

Examples

# NOT RUN {
 ##Simulate data

 N = 500

 m = rep(1:2, each=N)

 x1 = rnorm(n=N*2)
 x2 = rnorm(n=N*2)
 x3 = rnorm(n=N*2)

 y = x1 + x2 + x3 + rnorm(n=N*2)

 dat = data.frame(m, x1, x2, x3, y)

 m1 = lm(y ~ x1 + x2 + x3, data=dat, subset=m==1)
 m2 = lm(y ~ x1 + x2 + x3, data=dat, subset=m==2)

 mList = list(m1, m2)

 compare_coef_vectors(model_list = mList)

# }