{"id":1275,"date":"2023-07-27T01:17:19","date_gmt":"2023-07-27T01:17:19","guid":{"rendered":"https:\/\/statorials.org\/ja\/r%e3%81%a6%e3%82%99%e3%83%86%e3%82%b9%e3%83%88%e3%81%99%e3%82%8b%e3%81%a8%e3%81%8d%e3%81%ae%e3%82%b3%e3%82%99%e3%83%bc%e3%83%ab%e3%83%88%e3%82%99%e3%83%95%e3%82%a7%e3%83%ab%e3%83%88%e3%82%99\/"},"modified":"2023-07-27T01:17:19","modified_gmt":"2023-07-27T01:17:19","slug":"r%e3%81%a6%e3%82%99%e3%83%86%e3%82%b9%e3%83%88%e3%81%99%e3%82%8b%e3%81%a8%e3%81%8d%e3%81%ae%e3%82%b3%e3%82%99%e3%83%bc%e3%83%ab%e3%83%88%e3%82%99%e3%83%95%e3%82%a7%e3%83%ab%e3%83%88%e3%82%99","status":"publish","type":"post","link":"https:\/\/statorials.org\/ja\/r%e3%81%a6%e3%82%99%e3%83%86%e3%82%b9%e3%83%88%e3%81%99%e3%82%8b%e3%81%a8%e3%81%8d%e3%81%ae%e3%82%b3%e3%82%99%e3%83%bc%e3%83%ab%e3%83%88%e3%82%99%e3%83%95%e3%82%a7%e3%83%ab%e3%83%88%e3%82%99\/","title":{"rendered":"R \u3067 goldfeld-quandt \u30c6\u30b9\u30c8\u3092\u5b9f\u884c\u3059\u308b\u65b9\u6cd5"},"content":{"rendered":"<p><\/p>\n<hr>\n<p><span style=\"color: #000000;\"><strong>Goldfeld-Quandt \u691c\u5b9a\u306f\u3001<\/strong>\u56de\u5e30\u30e2\u30c7\u30eb\u306b<a href=\"https:\/\/statorials.org\/ja\/\u4e0d\u5747\u4e00\u5206\u6563\u6027\u56de\u5e30\/\" target=\"_blank\" rel=\"noopener\">\u4e0d\u5747\u4e00\u5206\u6563\u6027<\/a>\u304c\u5b58\u5728\u3059\u308b\u304b\u3069\u3046\u304b\u3092\u5224\u65ad\u3059\u308b\u305f\u3081\u306b\u4f7f\u7528\u3055\u308c\u307e\u3059\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u4e0d\u5747\u4e00\u5206\u6563\u6027\u3068\u306f\u3001\u56de\u5e30\u30e2\u30c7\u30eb\u306e<a href=\"https:\/\/statorials.org\/ja\/\u5909\u6570\u306e\u8aac\u660e\u5fdc\u7b54\/\" target=\"_blank\" rel=\"noopener\">\u5fdc\u7b54\u5909\u6570<\/a>\u306e\u3055\u307e\u3056\u307e\u306a\u30ec\u30d9\u30eb\u3067\u306e<a href=\"https:\/\/statorials.org\/ja\/\u6b8b\u57fa\/\" target=\"_blank\" rel=\"noopener\">\u6b8b\u5dee<\/a>\u306e\u4e0d\u5747\u4e00\u306a\u5206\u6563\u3092\u6307\u3057\u307e\u3059\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u4e0d\u5747\u4e00\u5206\u6563\u304c\u5b58\u5728\u3059\u308b\u5834\u5408\u3001\u5fdc\u7b54\u5909\u6570\u306e\u5404\u30ec\u30d9\u30eb\u3067\u6b8b\u5dee\u304c\u5747\u7b49\u306b\u5206\u6563\u3057\u3066\u3044\u308b\u3068\u3044\u3046<a href=\"https:\/\/statorials.org\/ja\/\u7dda\u5f62\u56de\u5e30\u306e\u4eee\u5b9a\/\" target=\"_blank\" rel=\"noopener\">\u7dda\u5f62\u56de\u5e30\u306e\u91cd\u8981\u306a\u4eee\u5b9a\u306e<\/a>1 \u3064\u306b\u9055\u53cd\u3057\u307e\u3059\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u3053\u306e\u30c1\u30e5\u30fc\u30c8\u30ea\u30a2\u30eb\u3067\u306f\u3001R \u3067 Goldfeld-Quandt \u691c\u5b9a\u3092\u5b9f\u884c\u3057\u3066\u3001\u7279\u5b9a\u306e\u56de\u5e30\u30e2\u30c7\u30eb\u306b\u4e0d\u5747\u4e00\u5206\u6563\u6027\u304c\u5b58\u5728\u3059\u308b\u304b\u3069\u3046\u304b\u3092\u5224\u65ad\u3059\u308b\u65b9\u6cd5\u306e\u6bb5\u968e\u7684\u306a\u4f8b\u3092\u793a\u3057\u307e\u3059\u3002<\/span><\/p>\n<h3><strong>\u30b9\u30c6\u30c3\u30d7 1: \u56de\u5e30\u30e2\u30c7\u30eb\u3092\u4f5c\u6210\u3059\u308b<\/strong><\/h3>\n<p><span style=\"color: #000000;\">\u307e\u305a\u3001R \u306b\u7d44\u307f\u8fbc\u307e\u308c\u3066\u3044\u308b<strong>mtcars<\/strong>\u30c7\u30fc\u30bf\u30bb\u30c3\u30c8\u3092\u4f7f\u7528\u3057\u3066<a href=\"https:\/\/statorials.org\/ja\/\u91cd\u7dda\u5f62\u56de\u5e30r\/\" target=\"_blank\" rel=\"noopener\">\u91cd\u7dda\u5f62\u56de\u5e30\u30e2\u30c7\u30eb<\/a>\u3092\u4f5c\u6210\u3057\u307e\u3059\u3002<\/span><\/p>\n<pre style=\"background-color: #e5e5e5; font-size: 15px;\"> <strong><span style=\"color: #008080;\">#fit a regression model<\/span>\nmodel &lt;- lm(mpg~disp+hp, data=mtcars)\n\n<span style=\"color: #008080;\">#view model summary\n<\/span>summary(model)\n\nCoefficients:\n             Estimate Std. Error t value Pr(&gt;|t|)    \n(Intercept) 30.735904 1.331566 23.083 &lt; 2nd-16 ***\navailable -0.030346 0.007405 -4.098 0.000306 ***\nhp -0.024840 0.013385 -1.856 0.073679 .  \n---\nSignificant. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1\n\nResidual standard error: 3.127 on 29 degrees of freedom\nMultiple R-squared: 0.7482, Adjusted R-squared: 0.7309 \nF-statistic: 43.09 on 2 and 29 DF, p-value: 2.062e-09\n<\/strong><\/pre>\n<h3><span style=\"color: #000000;\"><strong>\u30b9\u30c6\u30c3\u30d7 2: Goldfeld-Quandt \u30c6\u30b9\u30c8\u3092\u5b9f\u884c\u3059\u308b<\/strong><\/span><\/h3>\n<p><span style=\"color: #000000;\">\u6b21\u306b\u3001 <strong>lmtest<\/strong>\u30d1\u30c3\u30b1\u30fc\u30b8\u306e<b>gqtest()<\/b>\u95a2\u6570\u3092\u4f7f\u7528\u3057\u3066 Goldfeld-Quandt \u30c6\u30b9\u30c8\u3092\u5b9f\u884c\u3057\u3001\u4e0d\u5747\u4e00\u5206\u6563\u6027\u304c\u5b58\u5728\u3059\u308b\u304b\u3069\u3046\u304b\u3092\u5224\u65ad\u3057\u307e\u3059\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u3053\u306e\u95a2\u6570\u306f\u6b21\u306e\u69cb\u6587\u3092\u4f7f\u7528\u3057\u307e\u3059\u3002<\/span><\/p>\n<p> <strong><span style=\"color: #000000;\">gqtest(\u30e2\u30c7\u30eb\u3001order.by\u3001\u30c7\u30fc\u30bf\u3001\u5206\u6570)<\/span><\/strong><\/p>\n<p><span style=\"color: #000000;\">\u91d1\uff1a<\/span><\/p>\n<ul>\n<li><span style=\"color: #000000;\"><strong>\u30e2\u30c7\u30eb:<\/strong> lm() \u30b3\u30de\u30f3\u30c9\u306b\u3088\u3063\u3066\u4f5c\u6210\u3055\u308c\u305f\u7dda\u5f62\u56de\u5e30\u30e2\u30c7\u30eb\u3002<\/span><\/li>\n<li> <span style=\"color: #000000;\"><strong>order.by:<\/strong>\u30e2\u30c7\u30eb\u306e\u4e88\u6e2c\u5909\u6570\u3002<\/span><\/li>\n<li> <span style=\"color: #000000;\"><strong>data:<\/strong>\u30c7\u30fc\u30bf\u30bb\u30c3\u30c8\u306e\u540d\u524d\u3002<\/span><\/li>\n<li><span style=\"color: #000000;\"><strong>\u5206\u6570*:<\/strong>\u30c7\u30fc\u30bf\u30bb\u30c3\u30c8\u304b\u3089\u524a\u9664\u3059\u308b\u4e2d\u5fc3\u89b3\u6e2c\u5024\u306e\u6570\u3002<\/span><\/li>\n<\/ul>\n<p> <span style=\"color: #000000;\">*Goldfeld-Quandt \u30c6\u30b9\u30c8\u306f\u3001\u30c7\u30fc\u30bf \u30bb\u30c3\u30c8\u306e\u4e2d\u5fc3\u306b\u4f4d\u7f6e\u3059\u308b\u591a\u6570\u306e\u89b3\u6e2c\u5024\u3092\u524a\u9664\u3057\u3001\u6b8b\u5dee\u306e\u5206\u5e03\u304c\u30c7\u30fc\u30bf \u30bb\u30c3\u30c8\u306e\u4e21\u5074\u306b\u3042\u308b 2 \u3064\u306e\u7d50\u679c\u306e\u30c7\u30fc\u30bf \u30bb\u30c3\u30c8\u3068\u7570\u306a\u308b\u304b\u3069\u3046\u304b\u3092\u30c6\u30b9\u30c8\u3059\u308b\u3053\u3068\u306b\u3088\u3063\u3066\u6a5f\u80fd\u3057\u307e\u3059\u3002\u4e2d\u5fc3\u7684\u306a\u89b3\u5bdf\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u901a\u5e38\u3001\u5408\u8a08\u89b3\u6e2c\u5024\u306e\u7d04 20% \u3092\u524a\u9664\u3059\u308b\u3053\u3068\u3092\u9078\u629e\u3057\u307e\u3059\u3002\u3053\u306e\u5834\u5408\u3001mtcars \u306b\u306f\u5408\u8a08 32 \u500b\u306e\u89b3\u6e2c\u5024\u304c\u3042\u308b\u305f\u3081\u3001\u4e2d\u5fc3\u306e 7 \u3064\u306e\u89b3\u6e2c\u5024\u3092\u524a\u9664\u3059\u308b\u3053\u3068\u3092\u9078\u629e\u3067\u304d\u307e\u3059\u3002<\/span><\/p>\n<pre style=\"background-color: #e5e5e5; font-size: 15px;\"> <strong><span style=\"color: #008080;\">#load lmtest library<\/span>\nlibrary(lmtest)\n\n<span style=\"color: #008080;\">#perform the Goldfeld Quandt test<\/span>\ngqtest(model, order.by = ~disp+hp, data = mtcars, fraction = 7)\n\n\tGoldfeld-Quandt test\n\ndata: model\nGQ = 1.0316, df1 = 10, df2 = 9, p-value = 0.486\nalternative hypothesis: variance increases from segment 1 to 2\n<\/strong><\/pre>\n<p><span style=\"color: #000000;\">\u7d50\u679c\u3092\u89e3\u91c8\u3059\u308b\u65b9\u6cd5\u306f\u6b21\u306e\u3068\u304a\u308a\u3067\u3059\u3002<\/span><\/p>\n<ul>\n<li><span style=\"color: #000000;\">\u691c\u5b9a\u7d71\u8a08\u91cf\u306f<b>1.0316<\/b>\u3067\u3059\u3002<\/span><\/li>\n<li><span style=\"color: #000000;\">\u5bfe\u5fdc\u3059\u308b p \u5024\u306f<strong>0.486<\/strong>\u3067\u3059\u3002<\/span><\/li>\n<\/ul>\n<p> <span style=\"color: #000000;\">Goldfeld-Quandt \u691c\u5b9a\u3067\u306f\u3001\u6b21\u306e\u5e30\u7121\u4eee\u8aac\u3068\u5bfe\u7acb\u4eee\u8aac\u304c\u4f7f\u7528\u3055\u308c\u307e\u3059\u3002<\/span><\/p>\n<ul>\n<li> <span style=\"color: #000000;\"><strong>Null (H <sub>0<\/sub> )<\/strong> : \u7b49\u5206\u6563\u6027\u304c\u5b58\u5728\u3057\u307e\u3059\u3002<\/span><\/li>\n<li><span style=\"color: #000000;\"><strong>\u4ee3\u66ff ( <sub>HA<\/sub> ):<\/strong>\u4e0d\u5747\u4e00\u5206\u6563\u6027\u304c\u5b58\u5728\u3057\u307e\u3059\u3002<\/span><\/li>\n<\/ul>\n<p> <span style=\"color: #000000;\">p \u5024\u306f 0.05 \u672a\u6e80\u3067\u306f\u306a\u3044\u305f\u3081\u3001\u5e30\u7121\u4eee\u8aac\u3092\u68c4\u5374\u3067\u304d\u307e\u305b\u3093\u3002\u56de\u5e30\u30e2\u30c7\u30eb\u306b\u4e0d\u5747\u4e00\u5206\u6563\u6027\u304c\u5b58\u5728\u3059\u308b\u3068\u4e3b\u5f35\u3059\u308b\u5341\u5206\u306a\u8a3c\u62e0\u306f\u3042\u308a\u307e\u305b\u3093\u3002<\/span><\/p>\n<h3><strong>\u6b21\u306f\u3069\u3046\u3059\u308b<\/strong><\/h3>\n<p><span style=\"color: #000000;\">Goldfeld-Quandt \u691c\u5b9a\u306e\u5e30\u7121\u4eee\u8aac\u3092\u68c4\u5374\u3067\u304d\u306a\u304b\u3063\u305f\u5834\u5408\u3001\u4e0d\u5747\u4e00\u5206\u6563\u6027\u306f\u5b58\u5728\u3057\u306a\u3044\u305f\u3081\u3001\u5143\u306e\u56de\u5e30\u306e\u7d50\u679c\u306e\u89e3\u91c8\u306b\u9032\u3080\u3053\u3068\u304c\u3067\u304d\u307e\u3059\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u305f\u3060\u3057\u3001\u5e30\u7121\u4eee\u8aac\u3092\u68c4\u5374\u3057\u305f\u5834\u5408\u306f\u3001\u30c7\u30fc\u30bf\u306b\u4e0d\u5747\u4e00\u5206\u6563\u6027\u304c\u5b58\u5728\u3059\u308b\u3053\u3068\u3092\u610f\u5473\u3057\u307e\u3059\u3002\u3053\u306e\u5834\u5408\u3001\u56de\u5e30\u51fa\u529b\u30c6\u30fc\u30d6\u30eb\u306b\u8868\u793a\u3055\u308c\u308b\u6a19\u6e96\u8aa4\u5dee\u306f\u4fe1\u983c\u3067\u304d\u306a\u3044\u53ef\u80fd\u6027\u304c\u3042\u308a\u307e\u3059\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u3053\u306e\u554f\u984c\u3092\u89e3\u6c7a\u3059\u308b\u306b\u306f\u3001\u6b21\u306e\u3088\u3046\u306a\u4e00\u822c\u7684\u306a\u65b9\u6cd5\u304c\u3044\u304f\u3064\u304b\u3042\u308a\u307e\u3059\u3002<\/span><\/p>\n<p> <span style=\"color: #000000;\"><strong>1. \u5fdc\u7b54\u5909\u6570\u3092\u5909\u63db\u3057\u307e\u3059\u3002<\/strong><\/span><\/p>\n<p><span style=\"color: #000000;\">\u5fdc\u7b54\u5909\u6570\u306b\u5bfe\u3057\u3066\u5909\u63db\u3092\u5b9f\u884c\u3057\u3066\u307f\u308b\u3053\u3068\u304c\u3067\u304d\u307e\u3059\u3002\u305f\u3068\u3048\u3070\u3001\u5fdc\u7b54\u5909\u6570\u306e<a href=\"https:\/\/statorials.org\/ja\/\u30c6\u3099\u30fc\u30bf\u3092r\u306b\u5909\u63db\u3059\u308b\/\" target=\"_blank\" rel=\"noopener\">\u5bfe\u6570\u3001\u5e73\u65b9\u6839\u3001\u7acb\u65b9\u6839\u3092<\/a>\u53d6\u5f97\u3057\u307e\u3059\u3002\u4e00\u822c\u306b\u3001\u3053\u308c\u306b\u3088\u308a\u4e0d\u5747\u4e00\u5206\u6563\u6027\u304c\u6d88\u5931\u3059\u308b\u53ef\u80fd\u6027\u304c\u3042\u308a\u307e\u3059\u3002<\/span><\/p>\n<p> <span style=\"color: #000000;\"><strong>2. \u91cd\u307f\u4ed8\u3051\u56de\u5e30\u3092\u4f7f\u7528\u3057\u307e\u3059\u3002<\/strong><\/span><\/p>\n<p><span style=\"color: #000000;\">\u91cd\u307f\u4ed8\u304d\u56de\u5e30\u3067\u306f\u3001\u8fd1\u4f3c\u5024\u306e\u5206\u6563\u306b\u57fa\u3065\u3044\u3066\u5404\u30c7\u30fc\u30bf \u30dd\u30a4\u30f3\u30c8\u306b\u91cd\u307f\u304c\u5272\u308a\u5f53\u3066\u3089\u308c\u307e\u3059\u3002\u57fa\u672c\u7684\u306b\u3001\u3053\u308c\u306b\u3088\u308a\u3001\u5206\u6563\u304c\u5927\u304d\u3044\u30c7\u30fc\u30bf \u30dd\u30a4\u30f3\u30c8\u306b\u4f4e\u3044\u91cd\u307f\u304c\u4e0e\u3048\u3089\u308c\u3001\u6b8b\u5dee\u4e8c\u4e57\u304c\u6e1b\u5c11\u3057\u307e\u3059\u3002<\/span><\/p>\n<p><span style=\"color: #000000;\">\u9069\u5207\u306a\u91cd\u307f\u3092\u4f7f\u7528\u3059\u308b\u3068\u3001\u91cd\u307f\u4ed8\u304d\u56de\u5e30\u306b\u3088\u3063\u3066\u4e0d\u5747\u4e00\u5206\u6563\u6027\u306e\u554f\u984c\u3092\u89e3\u6c7a\u3067\u304d\u307e\u3059\u3002<\/span><\/p>\n<h3><span style=\"color: #000000;\"><strong>\u8ffd\u52a0\u30ea\u30bd\u30fc\u30b9<\/strong><\/span><\/h3>\n<p><a href=\"https:\/\/statorials.org\/ja\/\u91cd\u7dda\u5f62\u56de\u5e30r\/\" target=\"_blank\" rel=\"noopener\">R \u3067\u91cd\u56de\u5e30\u3092\u5b9f\u884c\u3059\u308b\u65b9\u6cd5<\/a><br \/><a href=\"https:\/\/statorials.org\/ja\/r\u306e\u767d\u30c6\u30b9\u30c8\/\" target=\"_blank\" rel=\"noopener\">R \u3067\u30db\u30ef\u30a4\u30c8\u306e\u30c6\u30b9\u30c8\u3092\u5b9f\u884c\u3059\u308b\u65b9\u6cd5<\/a><br \/><a href=\"https:\/\/statorials.org\/ja\/\u30d5\u3099\u30ea\u30e5\u30fc\u30b7\u30e5\u7570\u6559\u306e\u30c6\u30b9\u30c8r\/\" target=\"_blank\" rel=\"noopener\">R \u3067 Breusch-Pagan \u30c6\u30b9\u30c8\u3092\u5b9f\u884c\u3059\u308b\u65b9\u6cd5<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Goldfeld-Quandt \u691c\u5b9a\u306f\u3001\u56de\u5e30\u30e2\u30c7\u30eb\u306b\u4e0d\u5747\u4e00\u5206\u6563\u6027\u304c\u5b58\u5728\u3059\u308b\u304b\u3069\u3046\u304b\u3092\u5224\u65ad\u3059\u308b\u305f\u3081\u306b\u4f7f\u7528\u3055\u308c\u307e\u3059\u3002 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