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 0.9-35
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 added NAMESPACE
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.