ncvTest {car} | R Documentation

## Score Test for Non-Constant Error Variance

### Description

Computes a score test of the hypothesis of constant error variance against the alternative that the error variance changes with the level of the response (fitted values), or with a linear combination of predictors.

### Usage

    ncvTest(model, ...)

    ## S3 method for class 'lm'
    ncvTest(model, var.formula, ...)

    ## S3 method for class 'glm'
    ncvTest(model, ...) # to report an error

### Arguments

`model` | a weighted or unweighted linear model, produced by `lm`.
`var.formula` | a one-sided formula for the error variance; if omitted, the error variance depends on the fitted values.
`...` | arguments passed down to methods functions; not currently used.

### Details

This test is often called the Breusch-Pagan test; it was independently suggested with some extension by Cook and Weisberg (1983).

`ncvTest.glm` is a dummy function to generate an error when a `glm` model is used.

### Value

The function returns a `chisqTest` object, which is usually just printed.

### Author(s)

John Fox jfox@mcmaster.ca, Sandy Weisberg sandy@umn.edu

### References

Breusch, T. S. and Pagan, A. R. (1979) A simple test for heteroscedasticity and random coefficient variation. Econometrica 47, 1287–1294.

Cook, R. D. and Weisberg, S. (1983) Diagnostics for heteroscedasticity in regression. Biometrika 70, 1–10.

Fox, J. (2008) Applied Regression Analysis and Generalized Linear Models, Second Edition. Sage.

Fox, J. and Weisberg, S. (2011) An R Companion to Applied Regression, Second Edition, Sage.

Weisberg, S. (2014) Applied Linear Regression, Fourth Edition, Wiley.

### See Also

`hccm`, `spreadLevelPlot`

### Examples

    ncvTest(lm(interlocks ~ assets + sector + nation, data=Ornstein))

    ncvTest(lm(interlocks ~ assets + sector + nation, data=Ornstein),
        ~ assets + sector + nation, data=Ornstein)

[Package car version 2.1-6 Index]