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How to reproduce the result of resettest in lmtest?
You can reproduce the result if you scale y like resettest does: where res1 and res2 are the sum of squared residuals of the original model (with scaled y) and the model with additional variable (s), i.e., really small numbers in the case of a perfect fit. They should be zero, but aren’t due to floating point arithmetics.
Why does resettest give spurious p-values in perfect fit?
Since the test statistics isn’t defined if res2 is zero, resettest should at least give a warning if res2 gets too small. In summary, you should tell your student that the software gives spurious p-values in case of a perfect fit due to floating point arithmetics.
What happens when R-resettest fails to match?
In this code sample, the p-value for the x^2 term should match the p-value for the resttest in each of the three pairs in the code. What actually happens is that they fail to match in examples reg1 and reg2—two cases where the regression fits perfectly.
Is there a RESET test for regression errors?
Ramsey (1969) Tests for Specification Errors in Classical Linear Least- Squares Analysis. Journal of the Royal Statistical Association, Series B, 71, 350–371. Reset test price on lotsize,sqrft,bdrms
How to perform the Breusch-Pagan test in lmtest?
View source: R/bptest.R Performs the Breusch-Pagan test against heteroskedasticity. a symbolic description for the model to be tested (or a fitted “lm” object). a formula describing only the potential explanatory variables for the variance (no dependent variable needed).
What should the starting value of bgtest be?
By default, the starting values for the lagged residuals in the auxiliary regression are chosen to be 0 (as in Godfrey 1978) but could also be set to NA to omit them. bgtest also returns the coefficients and estimated covariance matrix from the auxiliary regression that includes the lagged residuals.
How is the bgtest function used in rdocumentation?
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 a finite sample version of the test statistic, employing an \\ (F\\) distribution with degrees of freedom as given in parameter.