F Test for heteroskedasticity under the assumption that

Test for constant variance

f_test(model, fitted_values = TRUE, rhs = FALSE, vars = NULL, ...)

Arguments

model

an object of class lm

fitted_values

logical; if TRUE, use fitted values of regression model

rhs

logical; if TRUE, specifies that tests for heteroskedasticity be performed for the right-hand-side (explanatory) variables of the fitted regression model

vars

variables to be used for for heteroskedasticity test

...

other arguments

Value

f_test returns an object of class "f_test". An object of class "f_test" is a list containing the following components:

References

Wooldridge, J. M. 2013. Introductory Econometrics: A Modern Approach. 5th ed. Mason, OH: South-Western.

Examples

# using fitted values
model <- lm(mpg ~ disp + hp + wt + qsec, data = mtcars)
f_test(model)
#> 
#>  F Test for Heteroskedasticity
#>  -----------------------------
#>  Ho: Variance is homogenous
#>  Ha: Variance is not homogenous
#> 
#>  Variables: fitted values of mpg 
#> 
#>     Test Summary      
#>  ---------------------
#>  Num DF     =    1 
#>  Den DF     =    30 
#>  F          =    0.492 
#>  Prob > F   =    0.488 

# using all predictors of the model
model <- lm(mpg ~ disp + hp + wt + qsec, data = mtcars)
f_test(model, rhs = TRUE)
#> 
#>  F Test for Heteroskedasticity
#>  -----------------------------
#>  Ho: Variance is homogenous
#>  Ha: Variance is not homogenous
#> 
#>  Variables: disp hp wt qsec 
#> 
#>     Test Summary      
#>  ---------------------
#>  Num DF     =    4 
#>  Den DF     =    27 
#>  F          =    0.459 
#>  Prob > F   =    0.765 

# using fitted values
model <- lm(mpg ~ disp + hp + wt + qsec, data = mtcars)
f_test(model, vars = c('disp', 'hp'))
#> 
#>  F Test for Heteroskedasticity
#>  -----------------------------
#>  Ho: Variance is homogenous
#>  Ha: Variance is not homogenous
#> 
#>  Variables: disp hp 
#> 
#>     Test Summary      
#>  ---------------------
#>  Num DF     =    2 
#>  Den DF     =    29 
#>  F          =    0.467 
#>  Prob > F   =    0.632