Search code examples
rlinear-regression

F test for β1=β2 in R

If my model looks like this, Y=β0+β1X1+β2X2+β3X3+β4X4, and I want to perform an F test (5%) in R for β1=β2, how do I do it? The only tutorials I can find online deal with β1=β2=0, but that's not what I'm looking for here.

Solution

  • Here's an example in R testing whether the coefficient for vs is the same as the coefficient for am:

    data(mtcars)
mod <- lm(mpg ~ hp + disp + vs + am, data=mtcars)
library(car)
linearHypothesis(mod, "vs=am")
# Linear hypothesis test
# 
# Hypothesis:
#   vs - am = 0
# 
# Model 1: restricted model
# Model 2: mpg ~ hp + disp + vs + am
# 
# Res.Df    RSS Df Sum of Sq      F Pr(>F)
# 1     28 227.07                           
# 2     27 213.52  1    13.547 1.7131 0.2016