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# coefTest

Class: CompactLinearModel

Linear hypothesis test on linear regression model coefficients

## Syntax

```p = coefTest(mdl)p = coefTest(mdl,H)p = coefTest(mdl,H,C)[p,F] = coefTest(mdl,___)[p,F,r] = coefTest(mdl,___)```

## Description

`p = coefTest(mdl)` computes the p-value for an F test that all coefficient estimates in `mdl` are zero, except for the intercept term.

`p = coefTest(mdl,H)` performs an F test that H × B = 0, where B represents the coefficient vector.

`p = coefTest(mdl,H,C)` performs an F test that H × B = C.

```[p,F] = coefTest(mdl,___)``` returns the F test statistic, `F`, using any of the previous syntaxes.

```[p,F,r] = coefTest(mdl,___)``` returns the numerator degrees of freedom, `r`, for the test.

## Input Arguments

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Linear model object, specified as a full `LinearModel` object constructed using `fitlm` or `stepwiselm`, or a compacted `CompactLinearModel` object constructed using `compact`.

Hypothesized model coefficients, specified as a numeric matrix with one column for each coefficient in the model. If `H` is an input, then the output `p` is the p-value for an F test that H × B = 0, where B represents the coefficient vector.

Hypothesized value for testing the null hypothesis, specified as a numeric vector with the same number of rows as `H`. When `C` is an input, the output `p` is the p-value for an F test that H × B = C, where B represents the coefficient vector.

## Output Arguments

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p-value of the F test, returned as a numeric value in the range [0,1].

Value of the test statistic for the F test, returned as a numeric value.

Numerator degrees of freedom for the F test, returned as a positive integer. The F statistic has `r` degrees of freedom in the numerator and `mdl.DFE` degrees of freedom in the denominator.

## Definitions

### Test Statistics

The p-value, F statistic, and numerator degrees of freedom are valid under these assumptions:

• The data comes from a model represented by the formula `mdl``.Formula`.

• The observations are independent conditional on the predictor values.

Suppose these assumptions hold. Let β represent the (unknown) coefficient vector of the linear regression. Suppose H is a full-rank matrix of size r-by-s, where s is the number of terms in β. Let v be a vector the same size as β. The following is a test statistic for the hypothesis that  = v:

`$F={\left(H\stackrel{^}{\beta }-v\right)}^{\prime }{\left(HC{H}^{\prime }\right)}^{-1}\left(H\stackrel{^}{\beta }-v\right).$`

Here $\stackrel{^}{\beta }$ is the estimate of the coefficient vector β in `mdl.Coefs`, and C is the estimated covariance of the coefficient estimates in `mdl.CoefCov`. When the hypothesis is true, the test statistic F has an F Distribution with r and u degrees of freedom.

## Examples

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Fit a linear regression model of mileage as a function of the weight, weight squared, and model year from the `carsmall` data set. Test the coefficients to see if all should be zero.

Load the data and make a table, where the model year is an ordinal variable.

```load carsmall tbl = table(MPG,Weight); tbl.Year = ordinal(Model_Year); mdl = fitlm(tbl,'MPG ~ Year + Weight + Weight^2'); ```

Test the model for significant differences from a constant model.

```p = coefTest(mdl) ```
```p = 5.5208e-41 ```

The returned -value indicates that the fitted model contains more than the intercept term.

Test the `Weight^2` coefficient in a linear model of mileage as a function of the weight, weight squared, and model year.

Load the data and make a table, where the model year is an ordinal variable.

```load carsmall tbl = table(MPG,Weight); tbl.Year = ordinal(Model_Year); mdl = fitlm(tbl,'MPG ~ Year + Weight + Weight^2'); ```

Test the significance of the `Weight^2` coefficient. To do so, find the coefficient corresponding to `Weight^2`.

```mdl.CoefficientNames ```
```ans = 1×5 cell array '(Intercept)' 'Weight' 'Year_76' 'Year_82' 'Weight^2' ```

`Weight^2` is the fifth (final) coefficient.

Test the significance of the `Weight^2` coefficient.

```p = coefTest(mdl,[0 0 0 0 1]) ```
```p = 0.0022 ```

## Alternatives

The values of commonly used test statistics are available in the `mdl.Coefficients` table.

`anova` provides a test for each model term.