ols_test_score function

Score test

Test for heteroskedasticity under the assumption that the errors are independent and identically distributed (i.i.d.).

ols_test_score(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.

Returns

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

• score: f statistic

• p: p value of score

• df: degrees of freedom

• fv: fitted values of the regression model

• rhs: names of explanatory variables of fitted regression model

• resp: response variable

• preds: predictors

Examples

# model
model <- lm(mpg ~ disp + hp + wt, data = mtcars)

# using fitted values of the model
ols_test_score(model)

# using predictors from the model
ols_test_score(model, rhs = TRUE)

# specify predictors from the model
ols_test_score(model, vars = c('disp', 'wt'))

References

Breusch, T. S. and Pagan, A. R. (1979) A simple test for heteroscedasticity and random coefficient variation. Econometrica 47, 1287–1294.

Cook, R. D. and Weisberg, S. (1983) Diagnostics for heteroscedasticity in regression. Biometrika 70, 1–10.

Koenker, R. 1981. A note on studentizing a test for heteroskedasticity. Journal of Econometrics 17: 107–112.

See Also

Other heteroskedasticity tests: ols_test_bartlett(), ols_test_breusch_pagan(), ols_test_f()