Glejser’s test, Advanced Statistics

The Null Hypothesis - H0:  There is no heteroscedasticity i.e. β1 = 0

The Alternative Hypothesis - H1:  There is heteroscedasticity i.e. β1 0

Reject H0 if |t | > t = 1.96155

MTB > Let c29=abs(c11)

MTB > let c30 = sqrt(c7)

MTB > let c31 = 1/(c7)

Regression Analysis: absolutness versus sqrttotexp, 1/totexp, sqtotexp

The regression equation is

absolutness = - 0.131 + 0.0153 sqrttotexp + 5.38 1/totexp - 0.000001 sqtotexp

Predictor          Coef          SE Coef          T         P        VIF

Constant       -0.13074     0.06910       -1.89  0.059

sqrttotexp     0.015309    0.005949      2.57  0.010  69.802

1/totexp          5.376        1.502            3.58  0.000  23.180

sqtotexp    -0.00000105  0.00000055  -1.90  0.057  21.096

S = 0.0535194   R-Sq = 1.5%   R-Sq(adj) = 1.3%

Analysis of Variance

Source               DF         SS        MS     F      P

Regression         3      0.065252  0.021751  7.59  0.000

Residual Error   1498 4.290756  0.002864

  Lack of Fit         26    0.062433  0.002401  0.84  0.702

  Pure Error       1472  4.228323  0.002873

Total           1501  4.356008

 2 rows with no replicates

Source      DF    Seq SS

sqrttotexp   1  0.016223

1/totexp     1  0.038664

sqtotexp     1  0.010364

Inverse Cumulative Distribution Function

Student's t distribution with 1498 DF

P( X <= x )        x

      0.975  1.96155

Since the ltoexp 3.58 > 1.96155 (CV), there is evidence to suggest that H0 would be rejected indicating that there is heteroscedasticity.

Posted Date: 3/5/2013 6:08:37 AM | Location : United States







Related Discussions:- Glejser’s test, Assignment Help, Ask Question on Glejser’s test, Get Answer, Expert's Help, Glejser’s test Discussions

Write discussion on Glejser’s test
Your posts are moderated
Related Questions
Chapter 7 2. Describe the distribution of sample means (shape, expected value, and standard error) for samples of n =36 selected from a population with a mean of µ = 100 and a sta

Thomas Economic Forecasting, Inc. and Harmon Econometrics have the same mean error in forecasting the stock market over the last ten years. However, the standard deviation for Thom

In the time series plot and scatter graphs there were many outliers that were clearly visible. These have been removed to identify if they were influential or had high leverage and

Outliers - Reasons for Screening Data Outliers are due to data entry errors, subject is not a member of the population that the sample is trying to represent, or the subject i

Classification matrix: A term many times used in discriminant analysis for the matrix summarizing the results and outputs obtained from the derived classi?cation rule, and obtaine

sfdgfdg

Bonferroni correction : A procedure for guarding against the rise in the probability of a type I error when performing the multiple signi?cance tests. To maintain probability of a

Non linear mapping (NLM ) is a technique for obtaining a low-dimensional representation of the set of multivariate data, which operates by minimizing a function of the differences

Multiple correlation coefficient is the correlation among the observed values of dependent variable in the multiple regression, and the values predicted by estimated regression

Regression line drawn as y= c+ 1075x ,when x was2, and y was 239,given that y intercept was 11. Calculate the residual ?