| bgtest {lmtest} | R Documentation |
bgtest performs the Breusch-Godfrey test for higher-order
serial correlation.
bgtest(formula, order = 1, order.by = NULL, type = c("Chisq", "F"), data = list())
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. |
order.by |
Either a vector z or a formula with a single explanatory
variable like ~ z. The observations in the model
are ordered by the size of z. If set to NULL (the
default) the observations are assumed to be ordered (e.g., a
time series). |
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. |
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.
A list with class "htest" containing the following components:
statistic |
the value of the test statistic. |
p.value |
the p-value of the test. |
parameter |
degrees of freedom. |
method |
a character string indicating what type of test was performed. |
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