Dear Federico, A problem with applying a standard test of normality to LS residuals is that the residuals are correlated and heterskedastic even if the standard assumptions of the model hold. In a large sample, this is unlikely to be problematic (unless there's an unusual data configuration), but in a small sample the effect could be nontrivial.
One approach is to use BLUS residuals, which transform the LS residuals to a smaller set of uncorrelated, homoskedastic residuals (assuming the correctness of the model). A search of R resources didn't turn up anything for BLUS, but they shouldn't be hard to compute. This is a standard topic covered in many econometrics texts. You might consider the alternative of generating a bootstrapped confidence envelope for the QQ plot; the qq.plot() function in the car package will do this for a linear model. I hope this helps, John -------------------------------- John Fox Department of Sociology McMaster University Hamilton, Ontario Canada L8S 4M4 905-525-9140x23604 http://socserv.mcmaster.ca/jfox -------------------------------- > -----Original Message----- > From: [EMAIL PROTECTED] > [mailto:[EMAIL PROTECTED] On Behalf Of > Federico Gherardini > Sent: Friday, October 15, 2004 7:44 AM > To: [EMAIL PROTECTED] > Subject: [R] Testing for normality of residuals in a regression model > > Hi all, > > Is it possible to have a test value for assessing the > normality of residuals from a linear regression model, > instead of simply relying on qqplots? > I've tried to use fitdistr to try and fit the residuals with > a normal distribution, but fitdsitr only returns the > parameters of the distribution and the standard errors, not > the p-value. Am I missing something? > > Cheers, > > Federico > > ______________________________________________ > [EMAIL PROTECTED] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html ______________________________________________ [EMAIL PROTECTED] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html