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coeftest <- function(x, vcov = NULL, df = NULL, ...)
{
UseMethod("coeftest")
}
coeftest.default <- function(x, vcov = NULL, df = NULL, ...)
{
est <- as.vector(coef(x))
if(is.null(vcov)) se <- vcov(x) else {
if(is.function(vcov)) se <- vcov(x)
else se <- vcov
}
se <- sqrt(diag(se))
tval <- est/se
if(is.null(df)) df <- x$df.residual
if(is.null(df)) df <- 0
if(is.finite(df) && df > 0) {
pval <- 2 * pt(abs(tval), df = df, lower.tail = FALSE)
cnames <- c("Estimate", "Std. Error", "t value", "Pr(>|t|)")
mthd <- "t"
} else {
pval <- 2 * pnorm(abs(tval), lower.tail = FALSE)
cnames <- c("Estimate", "Std. Error", "z value", "Pr(>|z|)")
mthd <- "z"
}
rval <- cbind(est, se, tval, pval)
colnames(rval) <- cnames
class(rval) <- "coeftest"
attr(rval, "method") <- paste(mthd, "test of coefficients of",
dQuote(class(x)[1]), "object", sQuote(deparse(substitute(x))))
return(rval)
}
coeftest.breakpointsfull <- function(x, vcov = NULL, df = NULL, ...)
{
stopifnot(require(strucchange))
est <- coef(x, ...)
rnames <- as.vector(t(outer(rownames(est), colnames(est), paste)))
est <- as.vector(t(est))
se <- vcov.breakpointsfull(x, vcov = vcov, ...)
se <- as.vector(sapply(seq(along = se), function(x) sqrt(diag(se[[x]]))))
tval <- est/se
if(is.finite(df) && df > 0) {
pval <- 2 * pt(abs(tval), df = df, lower.tail = FALSE)
cnames <- c("Estimate", "Std. Error", "t value", "Pr(>|t|)")
mthd <- "t"
} else {
pval <- 2 * pnorm(abs(tval), lower.tail = FALSE)
cnames <- c("Estimate", "Std. Error", "z value", "Pr(>|z|)")
mthd <- "z"
}
rval <- cbind(est, se, tval, pval)
colnames(rval) <- cnames
rownames(rval) <- rnames
class(rval) <- "coeftest"
attr(rval, "method") <- paste(mthd, "test of coefficients of",
dQuote(class(x)[1]), "object", sQuote(deparse(substitute(x))))
return(rval)
}
print.coeftest <- function(x, ...)
{
mthd <- attr(x, "method")
if(is.null(mthd)) mthd <- "Test of coefficients"
cat(paste("\n", mthd,":\n\n", sep = ""))
printCoefmat(x, ...)
cat("\n")
invisible(x)
}
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