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f_test_custom

F-test of regression's overall significance


Description

f_test_custom performs an overall significance F-test on a regression. It is used along with .lm.fit to get the F-statistic as this is about 10 times faster than extracting it from a regression using lm.

Usage

f_test_custom(dep_var, indep_vars, model_res, const = TRUE)

Arguments

dep_var

A numeric vector or a matrix with one column representing the dependent variable.

indep_vars

A matrix representing the independent variables.

model_res

A numeric vector representing the regression's residuals.

const

A logical indicating whether the constant term should be restricted too.

Value

f_test_custom returns a list containing the F-statistic and the numerator's degrees of freedom.

Author(s)

Kleanthis Natsiopoulos, klnatsio@gmail.com

See Also


ARDL

ARDL, ECM and Bounds-Test for Cointegration

v0.1.1
GPL-3
Authors
Kleanthis Natsiopoulos [aut, cre] (<https://orcid.org/0000-0003-1180-2984>), Nickolaos Tzeremes [aut] (<https://orcid.org/0000-0002-6938-3404>)
Initial release

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