bgtest                package:lmtest                R Documentation

_B_r_e_u_s_c_h-_G_o_d_f_r_e_y _T_e_s_t

_D_e_s_c_r_i_p_t_i_o_n:

     'bgtest' performs the Breusch-Godfrey test for higher order serial
     correlation.

_U_s_a_g_e:

     bgtest(formula, order = 1, type = c("Chisq", "F"), data = list())

_A_r_g_u_m_e_n_t_s:

 formula: a symbolic description for the model to be tested (or a
          fitted '"lm"' object).

   order: integer. maximal order of serial correlation to be tested.

    type: the type of test statistic to be returned. Either '"Chisq"'
          for the Chi-squared test statistic or '"F"' for the F test
          statistic.

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

_D_e_t_a_i_l_s:

     Under H_0 the test statistic is asymptotically Chi-squared with
     degrees of freedom as given in 'parameter'. If 'type' is set to
     '"F"' the function returns the exact F statistic which, under H_0,
     follows an F distribution with degrees of freedom as given in
     'parameter'.

     The starting values for the lagged residuals in the supplementary
     regression are chosen to be 0.

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