[R] Testing for normality of residuals in a regression model
John Fox
jfox at mcmaster.ca
Fri Oct 15 19:48:49 CEST 2004
Dear Kjetil,
I don't believe that these are BLUS residuals, but since the last n - r
"effects" are projections onto an orthogonal basis for the residual
subspace, they should do just fine (as long as the basis vectors have the
same length, which I think is the case, but perhaps someone can confirm).
The general idea is to transform the LS residuals into an uncorrelated,
equal-variance set.
Regards,
John
--------------------------------
John Fox
Department of Sociology
McMaster University
Hamilton, Ontario
Canada L8S 4M4
905-525-9140x23604
http://socserv.mcmaster.ca/jfox
--------------------------------
> -----Original Message-----
> From: Kjetil Brinchmann Halvorsen [mailto:kjetil at acelerate.com]
> Sent: Friday, October 15, 2004 9:12 AM
> To: John Fox
> Cc: 'Federico Gherardini'; R-help at stat.math.ethz.ch
> Subject: Re: [R] Testing for normality of residuals in a
> regression model
>
> John Fox wrote:
>
> >Dear Federico,
> >
> >A problem with applying a standard test of normality to LS
> residuals is
> >that the residuals are correlated and heterskedastic even if the
> >standard assumptions of the model hold. In a large sample, this is
> >unlikely to be problematic (unless there's an unusual data
> >configuration), but in a small sample the effect could be nontrivial.
> >
> >One approach is to use BLUS residuals, which transform the
> LS residuals
> >to a smaller set of uncorrelated, homoskedastic residuals
> (assuming the
> >correctness of the model).
> >
> I'm not sure if this are BLUE residuals, but the following
> function transform to a smaller set of independent,
> homoscedastic residuals and the calls
> shapiro.test:
> I've proposed to make this a method for shapiro.test for "lm"
> objects, but it is not accepted.
>
> shapiro.test.lm
> function (obj)
> {
> eff <- effects(obj)
> rank <- obj$rank
> df.r <- obj$df.residual
> if (df.r < 3)
> stop("To few degrees of freedom for residual for the test.")
> data.name <- deparse(substitute(obj))
> x <- eff[-(1:rank)]
> res <- shapiro.test(x)
> res$data.name <- data.name
> res$method <- paste(res$method, " for residuals of linear model")
> res
> }
>
> Kjetil
>
>
> > A search of R resources didn't turn up anything for BLUS, but they
> >shouldn't be hard to compute. This is a standard topic
> covered in many
> >econometrics texts.
> >
> >You might consider the alternative of generating a bootstrapped
> >confidence envelope for the QQ plot; the qq.plot() function
> in the car
> >package will do this for a linear model.
> >
> >I hope this helps,
> > John
> >
> >--------------------------------
> >John Fox
> >Department of Sociology
> >McMaster University
> >Hamilton, Ontario
> >Canada L8S 4M4
> >905-525-9140x23604
> >http://socserv.mcmaster.ca/jfox
> >--------------------------------
> >
> >
> >
> >>-----Original Message-----
> >>From: r-help-bounces at stat.math.ethz.ch
> >>[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Federico
> >>Gherardini
> >>Sent: Friday, October 15, 2004 7:44 AM
> >>To: R-help at stat.math.ethz.ch
> >>Subject: [R] Testing for normality of residuals in a
> regression model
> >>
> >>Hi all,
> >>
> >>Is it possible to have a test value for assessing the normality of
> >>residuals from a linear regression model, instead of simply
> relying on
> >>qqplots?
> >>I've tried to use fitdistr to try and fit the residuals
> with a normal
> >>distribution, but fitdsitr only returns the parameters of the
> >>distribution and the standard errors, not the p-value. Am I missing
> >>something?
> >>
> >>Cheers,
> >>
> >>Federico
> >>
> >>______________________________________________
> >>R-help at stat.math.ethz.ch mailing list
> >>https://stat.ethz.ch/mailman/listinfo/r-help
> >>PLEASE do read the posting guide!
> >>http://www.R-project.org/posting-guide.html
> >>
> >>
> >
> >______________________________________________
> >R-help at stat.math.ethz.ch mailing list
> >https://stat.ethz.ch/mailman/listinfo/r-help
> >PLEASE do read the posting guide!
> >http://www.R-project.org/posting-guide.html
> >
> >
> >
> >
>
>
> --
>
> Kjetil Halvorsen.
>
> Peace is the most effective weapon of mass construction.
> -- Mahdi Elmandjra
>
>
>
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