| Type: | Package |
| Title: | Information Matrix Test for Regression Models |
| Version: | 0.1.0 |
| Maintainer: | Hasraddin Guliyev <hasradding@unec.edu.az> |
| Description: | Implements the Information Matrix test for regression models following Cameron, A. C., & Trivedi, P. K. (1990) https://cameron.econ.ucdavis.edu/research/imtest_impliedalternatives_ucdwp372.pdf Decomposes the test into components for heteroscedasticity, skewness, and kurtosis to diagnose specific forms of misspecification. Provides both overall and component-wise statistics for model assessment. |
| License: | GPL (≥ 3) |
| Depends: | R (≥ 3.6.0) |
| Imports: | stats |
| Suggests: | spelling |
| Encoding: | UTF-8 |
| RoxygenNote: | 7.3.3 |
| URL: | https://github.com/guliyevh/infotest |
| BugReports: | https://github.com/guliyevh/infotest/issues |
| Language: | en-US |
| NeedsCompilation: | no |
| Packaged: | 2025-10-26 22:52:58 UTC; macbookm4 |
| Author: | Hasraddin Guliyev [aut, cre] |
| Repository: | CRAN |
| Date/Publication: | 2025-10-30 14:30:02 UTC |
Information Matrix Test for Regression Models
Description
infotest() applies the Information Matrix (IM) test to a fitted
lm model and reports the Cameron & Trivedi (1990) decomposition
into heteroskedasticity, skewness, and kurtosis components. Optionally,
White's (1980) heteroskedasticity test is also reported.
Usage
infotest(model, white = TRUE, verbose = TRUE)
Arguments
model |
A fitted |
white |
Logical; if |
verbose |
Logical; if |
Details
Information Matrix (IM) Test for lm() Models
The function checks that model is an lm fit and refuses
weighted models. The intercept is removed from the design matrix, regressors
are centered, and quadratic terms are constructed for the auxiliary
regressions used by the IM and White tests. Test statistics are computed as
chi-square values with associated degrees of freedom.
Value
An object of class infotest containing:
-
decomposition: a list with componentsheteroskedasticity,skewness,kurtosis, andtotal, each providingchi2,df, andp. -
white: (only whenwhite = TRUE) a list withchi2,df, andp. -
call: the function call
Warnings
Weighted
lmfits are not supported.If there are no covariates (intercept-only model), the test is skipped with a message.
Author(s)
Hasraddin Guliyev hasradding@unec.edu.az
References
White, H. (1980). A heteroskedasticity-consistent covariance matrix
estimator and a direct test for heteroskedasticity. Econometrica,
48(4), 817–838.
Cameron, A. C., & Trivedi, P. K. (1990). The information matrix test and its
applied alternatives. Econometric Theory, 6(2), 179–195.
See Also
Examples
m <- lm(Sepal.Length ~ Sepal.Width + Petal.Length, data = iris)
# Print results to console
infotest(m)
# Store results without printing
res <- infotest(m, verbose = FALSE)
print(res)
# Access components
str(res$decomposition)