[R] Testing for normality of residuals in a regression model

[Kjetil Brinchmann Halvorsen]

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). 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
>>
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>>
>
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>
>  
>


-- 

Kjetil Halvorsen.

Peace is the most effective weapon of mass construction.
               --  Mahdi Elmandjra