{"id":1637,"date":"2023-07-25T13:53:58","date_gmt":"2023-07-25T13:53:58","guid":{"rendered":"https:\/\/statorials.org\/tr\/rde-breusch-godfrey-testi\/"},"modified":"2023-07-25T13:53:58","modified_gmt":"2023-07-25T13:53:58","slug":"rde-breusch-godfrey-testi","status":"publish","type":"post","link":"https:\/\/statorials.org\/tr\/rde-breusch-godfrey-testi\/","title":{"rendered":"R'de breusch-godfrey testi nas\u0131l yap\u0131l\u0131r"},"content":{"rendered":"

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Do\u011frusal regresyonun temel varsay\u0131mlar\u0131ndan<\/a> biri, art\u0131klar aras\u0131nda herhangi bir korelasyonun olmamas\u0131, yani art\u0131klar\u0131n ba\u011f\u0131ms\u0131z olmas\u0131d\u0131r.<\/span><\/p>\n

Birinci dereceden otokorelasyonu test etmek i\u00e7in Durbin-Watson testi<\/a> yapabiliriz. Ancak otokorelasyonu daha y\u00fcksek derecelerde test etmek istiyorsak Breusch-Godfrey testi<\/strong> yapmam\u0131z gerekir.<\/span><\/p>\n

Bu test a\u015fa\u011f\u0131daki varsay\u0131mlar\u0131<\/a> kullan\u0131r:<\/span><\/p>\n

H 0<\/sub> (s\u0131f\u0131r hipotezi):<\/strong> p’den k\u00fc\u00e7\u00fck veya p’ye<\/em> e\u015fit bir otokorelasyon yoktur.<\/span><\/p>\n

HA<\/sub> (alternatif hipotez):<\/strong> p’den k\u00fc\u00e7\u00fck veya p’ye<\/em> e\u015fit belirli bir d\u00fczeyde otokorelasyon vard\u0131r.<\/span><\/p>\n

Test istatisti\u011fi, p<\/em> serbestlik derecesine sahip bir Ki-kare da\u011f\u0131l\u0131m\u0131n\u0131 takip eder.<\/span><\/p>\n

Bu test istatisti\u011fine kar\u015f\u0131l\u0131k gelen p de\u011feri<\/a> belirli bir anlaml\u0131l\u0131k d\u00fczeyinin (\u00f6rne\u011fin 0,05) alt\u0131ndaysa, o zaman s\u0131f\u0131r hipotezini reddedebilir ve art\u0131klar aras\u0131nda belirli bir d\u00fc\u015f\u00fck d\u00fczeyde veya p’ye<\/em> e\u015fit bir otokorelasyonun var oldu\u011fu sonucuna varabiliriz.<\/span><\/p>\n

R’de Breusch-Godfrey testi ger\u00e7ekle\u015ftirmek i\u00e7in lmtest<\/strong> k\u00fct\u00fcphanesindeki bgtest(y ~ x, order = p)<\/strong> fonksiyonunu kullanabiliriz.<\/span><\/p>\n

Bu e\u011fitimde bu s\u00f6zdiziminin R’de kullan\u0131lmas\u0131na ili\u015fkin bir \u00f6rnek sunulmaktad\u0131r.<\/span><\/p>\n

\u00d6rnek: R’de Breusch-Godfrey testi<\/strong><\/span><\/h3>\n

\u00d6ncelikle iki \u00f6ng\u00f6r\u00fcc\u00fc de\u011fi\u015fken (x1 ve x2) ve bir yan\u0131t de\u011fi\u015fkeni (y) i\u00e7eren sahte bir veri k\u00fcmesi olu\u015ftural\u0131m.<\/span><\/p>\n

 #create dataset\n<\/span>df <- data. frame<\/span> (x1=c(3, 4, 4, 5, 8, 9, 11, 13, 14, 16, 17, 20),\n                 x2=c(7, 7, 8, 8, 12, 4, 5, 15, 9, 17, 19, 19),\n                  y=c(24, 25, 25, 27, 29, 31, 34, 34, 39, 30, 40, 49))\n\n#view first six rows of dataset\n<\/span>head(df)\n\n  x1 x2 y\n1 3 7 24\n2 4 7 25\n3 4 8 25\n4 5 8 27\n5 8 12 29\n6 9 4 31<\/strong><\/pre>\n
 Daha sonra lmtest<\/strong> paketindeki bgtest()<\/strong> fonksiyonunu kullanarak Breusch-Godfrey testi ger\u00e7ekle\u015ftirebiliriz.<\/span><\/p>\n
 Bu \u00f6rnek i\u00e7in, art\u0131klar aras\u0131ndaki otokorelasyonu p = 3 d\u00fczeyinde test edece\u011fiz:<\/span><\/p>\n
 #load lmtest package\n<\/span>library<\/span> (lmtest)\n\n#perform Breusch-Godfrey test\n<\/span>bgtest(y ~ x1 + x2, order= 3<\/span> , data=df)\n\n\tBreusch-Godfrey test for serial correlation of order up to 3\n\ndata: y ~ x1 + x2\nLM test = 8.7031, df = 3, p-value = 0.03351\n<\/strong><\/pre>\n
 Sonu\u00e7tan test istatisti\u011finin 3 serbestlik derecesiyle X2<\/sup> = 8,7031<\/strong> oldu\u011funu g\u00f6rebiliriz. Kar\u015f\u0131l\u0131k gelen p de\u011feri 0,03351’dir<\/strong> .<\/span><\/p>\n
 Bu p de\u011feri 0,05’ten k\u00fc\u00e7\u00fck oldu\u011fundan s\u0131f\u0131r hipotezini reddedebilir ve 3’ten k\u00fc\u00e7\u00fck veya ona e\u015fit olan s\u0131radaki art\u0131klar aras\u0131nda bir otokorelasyon oldu\u011fu sonucuna varabiliriz.<\/span><\/p>\n
 Otokorelasyonla nas\u0131l ba\u015fa \u00e7\u0131k\u0131l\u0131r?<\/strong><\/span><\/h3>\n
 S\u0131f\u0131r hipotezini reddederseniz ve art\u0131klarda otokorelasyonun mevcut oldu\u011fu sonucuna var\u0131rsan\u0131z, yeterince ciddi oldu\u011funu d\u00fc\u015f\u00fcn\u00fcyorsan\u0131z bu sorunu d\u00fczeltmek i\u00e7in birka\u00e7 se\u00e7ene\u011finiz vard\u0131r:<\/span><\/p>\n