Run enhanced heteroscedasticity diagnostics¶

Source: R/robust_implementations.R · Help: ?runAdvancedDiagnostics

Executes one or more robust diagnostics with automatic enhancements for small samples and optional studentisation.

Usage¶

runAdvancedDiagnostics(
  model,
  data,
  tests = "all",
  auto_enhance = TRUE,
  bootstrap_B = 999,
  parallel = FALSE,
  ci_level = 0.95
)

rrunAdvancedDiagnostics(
  model,
  data,
  tests = "all",
  auto_enhance = TRUE,
  bootstrap_B = 999,
  parallel = FALSE,
  ci_level = 0.95
)

Arguments¶

model: A fitted stats::lm object representing the mean specification to be diagnosed.
data: A base::data.frame (or object coercible to one) containing the variables referenced by model. It must include the observations used to fit model and will be checked for missing values.
tests: Character vector of tests to run. Use "all" (default) to run the White and Breusch-Pagan diagnostics, or supply a subset such as c("white", "bp").
auto_enhance: Logical, enable automatic bootstrap for small samples (n < 50) and studentization for Breusch-Pagan.
bootstrap_B: Number of bootstrap replications used when automatic enhancement triggers bootstrap. Defaults to 999, the default of every resampling test in the package since 0.15.0; it was 500 before. On a fit returned by fitWLS() the bootstrap of performWhiteTestRobust() and performBPTestRobust() estimates the weights again in each replicate, the default of bootstrapTestStatistic() since 0.15.0, and there is no argument to hold them fixed here.
parallel: Logical, allow parallel bootstrap evaluation when the parallel package is available. A seeded call gives the same result each time; see Parallel replicates in bootstrapTestStatistic().
ci_level: Confidence level for reported intervals.

Value¶

A list with the executed results and metadata describing the enhancements that were applied.

Deprecated name¶

rrunAdvancedDiagnostics() is deprecated since 0.15.0: use runAdvancedDiagnostics(), the same function under the package's naming scheme. The old name still works, returns what it returned and warns; it leaves the exports in 1.0.0.