[R] statistical tests under serial dependence

[Millo Giovanni]

Dear Rosa,

please be more specific. Statistical tests for which hypothesis?

For example, some tests can be made robust using Heteroskedasticity-
*and Autocorrelation-* Consistent (HAC) covariance matrices in package
'sandwich': see
- waldtest{lmtest} for a redundant variables test much like anova().
- linear.hypothesis{car} for general linear hypothesis testing in linear
regression models.

Besides, I'm very ignorant about VIF but I remember there being an
article in R-News some years ago, see
http://cran.r-project.org/doc/Rnews/Rnews_2003-1.pdf.

I hope it helps.
Giovanni

## original message was: ##

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Message: 21
Date: Sat, 08 Sep 2007 19:25:07 +0100
From: Rosa Trancoso <ana.rosa.maretec at ist.utl.pt>
Subject: [R] statistical tests under serial dependence
To: r-help at stat.math.ethz.ch
Message-ID: <46E2E903.2010904 at ist.utl.pt>
Content-Type: text/plain; charset=ISO-8859-1; format=flowed

Hello!

I would like to know if there are already programmed statistical tests 
for data under serial dependence, for example, considering the variance 
inflation factor?


Thank you very much
Best regards
Rosa

############################

Giovanni Millo
Research Dept.,
Assicurazioni Generali SpA
Via Machiavelli 4, 
34131 Trieste (Italy)
tel. +39 040 671184 
fax  +39 040 671160
 
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