summary.tlm {hett}R Documentation

summary method for class "tlm"

Description

Summarizes the heteroscedastic t regression object

Usage

## S3 method for class 'tlm':
summary(object, correlation = FALSE, ...)
## S3 method for class 'summary.tlm':
print(x, ...) 

Arguments

object heteroscedastic t regression object called from tlm()
x an object of class "summary.tlm" containing the values below
correlation should the calaculation of the parameter correlation matrix be supressed. If the fit includes a location and a scale formula then both correlation matrices are printed. The default is FALSE.
... arguments passed to or from other methods

Details

The table summary produced by this function should be used with caution. A more appropriate test between nested models is to use the score statistic function tscore.

Value

a list containing the following components:

loc.summary an object containing a list of objects that summarize the location model
scale.summary an object containing a list of objects that summarize the scale model
iter the number of iterations of the algorithm
dof value of the fixed or estimated degrees of freedom
dofse the standard error associated with the degrees of freedom if estimated
logLik the maximised log-likelihood
method the method used to maximize the likelihood
endTime the time taken for the algorithm to converge

Author(s)

Julian Taylor

See Also

tsum, tlm

Examples


data(mm, package = "hett")
attach(mm)

## fit a model with heteroscedasticity and estimating the degrees of freedom

tfit2 <- tlm(m.marietta ~ CRSP, ~ CRSP, data = mm, start = list(dof =
3), estDof = TRUE)
summary(tfit2) 

[Package hett version 0.3 Index]