Re: [R] Heteroskedasticity test
On Fri, 29 Sep 2006, Alberto Monteiro wrote: Is there any heteroskedasticity test in the package? Something that would flag a sample like x - c(rnorm(1000), rnorm(1000, 0, 1.2)) The package lmtest contains several tests for heteroskedasticity, in particular the Breusch-Pagan test (and also the Goldfeld-Quandt test for known change point). Furthermore, some of the structural change tests in strucchange can be used to test for non-constant variances, e.g, the Nyblom-Hansen test. Z Alberto Monteiro __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Heteroskedasticity test
you may also try to levene test. Once again i think it is for a known change point. http://finzi.psych.upenn.edu/R/library/car/html/levene.test.html On 9/30/06, Achim Zeileis [EMAIL PROTECTED] wrote: On Fri, 29 Sep 2006, Alberto Monteiro wrote: Is there any heteroskedasticity test in the package? Something that would flag a sample like x - c(rnorm(1000), rnorm(1000, 0, 1.2)) The package lmtest contains several tests for heteroskedasticity, in particular the Breusch-Pagan test (and also the Goldfeld-Quandt test for known change point). Furthermore, some of the structural change tests in strucchange can be used to test for non-constant variances, e.g, the Nyblom-Hansen test. Z Alberto Monteiro __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. -- Ritwik Sinha Graduate Student Epidemiology and Biostatistics Case Western Reserve University [EMAIL PROTECTED] | +12163682366 | http://darwin.cwru.edu/~rsinha __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
[R] Heteroskedasticity test
Is there any heteroskedasticity test in the package? Something that would flag a sample like x - c(rnorm(1000), rnorm(1000, 0, 1.2)) Alberto Monteiro __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
Re: [R] Heteroskedasticity test
The Brown-Forsyth test for homogeneity of variance is included in the HH package, downloadable from CRAN. library(HH) x - c(rnorm(1000), rnorm(1000, 0, 1.2)) tmp - data.frame(x=x, group=rep(c(s1,s1.2), c(1000,1000))) plot.hov(x ~ group, data=tmp) hov(x ~ group, data=tmp) __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
