Testing Linear Regression Models

A collection of tests, data sets, and examples for diagnostic checking in linear regression models. Furthermore, some generic tools for inference in parametric models are provided.


Changes in Version 0.9-37

o coeftest() gained a "df" attribute facilitating subsequent processing of its output, e.g., for computing the corresponding confidence intervals. Suggested by Alex Hayes in https://github.com/tidymodels/broom/issues/663.

o Based on the new "df" attribute of "coeftest" objects, a method for confint() is added. confint(coeftest(object, ...)) should match the output of coefci(object, ...).

o Based on the new "df" attribute of "coeftest" objects, a method for df.residual() is added. df.residual(coeftest(object, ...)) returns NULL if a normal (rather than t) approximation was used in coeftest(object, ...) even if df.residual(object) returned something different.

Changes in Version 0.9-36

o resettest() gained a vcov and ... argument that - if present - are passed to waldtest() to carry out the F test. This enables the usage of robust sandwich covariances etc.

o Various documentation improvements suggested by Kevin Tappe.

o Added native routine registration for pan.f.

Changes in Version 0.9-35

o Added a new function coefci() to accompany coeftest() for computing the Wald confidence intervals for coefficients, e.g., based on sandwich covariances.

o The default coeftest() method -- and also coefci() -- now pass the ... arguments on to the vcov.() function argument (if any).

o Fixed bug in bptest() for degrees-of-freedom calculation when some regressors are aliased/collinear. Reported by Amrei Luise Stammann.

o Various documentation improvements suggested by Kevin Tappe.

Changes in Version 0.9-34

o Registered all default methods as S3 methods (in addition to fully exporting them).

o Reference output updated for recent versions of R.

Changes in Version 0.9-33

o Extended license to GPL-2 or GPL-3.

o To make resettest() results numerically more reliable (especially for type = "fitted" when the fitted mean is large), the response is internally scaled.

o The default coeftest() method checks whether coef() and vcov() output has unique names (which they may not have for some model classes, e.g., sampleSelection::selection).

Changes in Version 0.9-32

o Small improvements in residual degrees of freedom computation within default waldtest() method.

o Updated Imports/Suggests to conform with current R CMD check.

Changes in Version 0.9-31

o Included Farebrother/Cummins as "aut" in DESCRIPTION for pan.f Fortran code.

o Made starting values in the auxiliary regression of bgtest() optional. By default still 0, but could also be NA.

o Avoid spurios errors about missing nobs() methods in lrtest().

Changes in Version 0.9-30

o coeftest(), lrtest(), and waldtest() can now also be used for S4 objects provided that methods to the corresponding S4 generics from stats4 are supplied.

o Added output of examples and vignettes as .Rout.save for R CMD check.

o Moved vignette to "vignettes" directory in source package.

Changes in Version 0.9-29

o dwtest() now catches weighted regressions and throws an error because weighted regressions are not supported (yet).

o bgtest() now returns an object of class "bgtest" (inheriting from "htest"). This has coef(), vcov() and df.residual() methods - and thus enable calling coeftest() - to show the results of the auxiliary regression.

Changes in Version 0.9-28

o Fixed typo in print output of dwtest() for two-sided alternatives.

o Fixed problem in coeftest() method for "breakpointsfull" objects (from strucchange). The vcov() method was not called correctly, resulting in an error.

Changes in Version 0.9-27

o Modified grangertest() default method to workaround a bug in as.zoo().

Changes in Version 0.9-26

o added coeftest() method for "mlm" objects (needed for matching coef() output to vcov() method)

Changes in Version 0.9-25

o enhanced documentation for new Rd parser.

Changes in Version 0.9-24

o Added new specification test: PE test for linear vs. log-linear specification in linear regressions is now available as petest().

Changes in Version 0.9-23

o enhanced documentation for new Rd parser.

Changes in Version 0.9-22

o included lmtest.bib in inst/doc for vignette.

o removed \itemize in .Rd files for new R-devel.

Changes in Version 0.9-21

o corrected degrees of freedom for bgtest(..., type = "F") (bug spotted by Oscar Becerra).

Changes in Version 0.9-20

o fixed error in Mandible data. Mandible[158,2] was 34 but should really be 37 (see Table 1 in Royston & Altman 1994). Spotted by Christian Ritz.

Changes in Version 0.9-19

o changed the default behaviour of waldtest.default(): Chisq test (instead of F test) is now used by default which is more sensible for most models (with linear models as a notable exception).

o added waldtest.lm() method that switches the default test back to F test (instead of Chisq test).

Changes in Version 0.9-18

o forgot to export print() method for "coeftest" objects

Changes in Version 0.9-17


o improved dependency declaration in DESCRIPTION

Changes in Version 0.9-16

o updated all .rda data sets to RDX2

o enhanced sanity checking in dwtest()

Changes in Version 0.9-15

o new generic with flexible default method for lrtest(), implementing asymptotic likelihood ratio tests. This works if a logLik() method is provided and suitable methods for updating models and checking consistency.

o simplified print output in coeftest()

Changes in Version 0.9-14

o now a default method for waldtest() is provided (replacing the lm method). It works for "lm", "glm" and "survreg" objects.
Furtheremore, it is object-oriented and generally works if the following methods are available: terms(), formula(), coef() (which needs to be named, matching the names in terms() and vcov()), vcov() (which can alternatively be user-supplied), df.residual(), residuals() and update() (unless only fitted objects are supplied).

o the default coeftest() was enhanced, works now out of the box for "mle" objects, a "survreg" method is added (needed because coef() and vcov() do not necessarily match for "survreg" objects).

o the vcov argument was changed (almost) everywhere to vcov. to avoid name clashes with the vcov() function.

Reference manual

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