24 lines
649 B
R
24 lines
649 B
R
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# Goal: Some of the standard tests
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# A classical setting --
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x <- runif(100, 0, 10) # 100 draws from U(0,10)
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y <- 2 + 3*x + rnorm(100) # beta = [2, 3] and sigma is 1
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d <- lm(y ~ x)
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# CLS results --
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summary(d)
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library(sandwich)
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library(lmtest)
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# Durbin-Watson test --
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dwtest(d, alternative="two.sided")
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# Breusch-Pagan test --
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bptest(d)
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# Heteroscedasticity and autocorrelation consistent (HAC) tests
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coeftest(d, vcov=kernHAC)
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# Tranplant the HAC values back in --
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library(xtable)
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sum.d <- summary(d)
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xtable(sum.d)
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sum.d$coefficients[1:2,1:4] <- coeftest(d, vcov=kernHAC)[1:2,1:4]
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xtable(sum.d)
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