lineartestr: Linear Specification Testing
Tests whether the linear hypothesis of a model
is correct specified using Dominguez-Lobato test. Also Ramsey's RESET (Regression Equation
Specification Error Test) test is implemented and Wald tests can be carried out.
Although RESET test is widely used to
test the linear hypothesis of a model, Dominguez and Lobato (2019) proposed a novel
approach that generalizes well known specification tests such as Ramsey's. This test
relies on wild-bootstrap; this package implements this approach to be
usable with any function that fits linear models and is compatible with
the update() function such as 'stats'::lm(), 'lfe'::felm() and 'forecast'::Arima(),
for ARMA (autoregressive–moving-average) models.
Also the package can handle custom statistics such as Cramer von Mises and Kolmogorov
Smirnov, described by the authors, and custom distributions such as Mammen (discrete
and continuous) and Rademacher.
Manuel A. Dominguez & Ignacio N. Lobato (2019) <doi:10.1080/07474938.2019.1687116>.
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=lineartestr
to link to this page.