[R] Help with function jtest - inputs other than from lm

[Reiko]

Hi all,

the function jtest allows to compare two non-nested models. The comparison
is made such that the fitted values of one model are included in the
regressor matrix of the other model. It then looks whether there is any
predictive power of these fitted values.

Unfortunately, the input has to come from a linear regression of class lm. I
think that in the function jtest, both the regressor matrix of model 1 and
the fitted values of model 2 will be estimated. Afterwards, it will perform
the J test. 

However, I don't use lm and wanted therefore to ask if you know whether
there is a way to manually define a regressor matrix (e.g. a matrix) and the
fitted values (vector) as inputs? 

Best,
Reiko



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