Perform a goldfeld-quandt test, Other Subject

Perform a Goldfeld-Quandt test for heteroskedasticity under the assumption the variance of the error increases with population density. Attach your results, and write out the form of the test as well as the value of the statistic and its interpretation.

Answer: This test is frequentely used because it is easy to apply when one of the regressors (or another r.v.)

is considered the proportionality factor of heteroscedasticity.

The test has two limits: its difficulty to reject the null hypothesis of omoscedasticity and the fact that it do not allow to verify other forms of heteroscedasticity. This test is based on the hypothesis that the error variance is related to a regressor X. The test procedure is the following:

1 - the observations on Y and X are sorted following the ascending order of the regressor X which is the proportionality factor;

2 - we divide the sample observations in three subsamples omitting the central one;

3 - we estimate throught OLS the regression models on the rest and third subsample (then on 2.observations each; the number of observations considered has to be sufficiently large);

4 - we calculate the relative RSS, denoted as RSS1 and RSS2;

5 - we derive the Goldfeld-Quandt test: GQ = R =RSS2RSS1;

6 - the test R under the null hypothesis has F distribution with degrees of freedom nc2k 2 both for numerator and denominator.

If the sample value of the test F is greater (in a.v.) than the critical value, at the chosen signicance level, we reject the null hypothesis of omoscedasticity.

Posted Date: 4/1/2013 5:15:57 AM | Location : United States







Related Discussions:- Perform a goldfeld-quandt test, Assignment Help, Ask Question on Perform a goldfeld-quandt test, Get Answer, Expert's Help, Perform a goldfeld-quandt test Discussions

Write discussion on Perform a goldfeld-quandt test
Your posts are moderated
Related Questions
I could really use some help with this reading guide for Angel of Death - The story of smallpox by Gareth Williams. My dad had a stroke 2 days ago and he needs 24/7 care and my mom

I have a homeworks to be done from a safety textbook. All that needs to be done is to read the chapter and answer the questions at the end of the book usually 20 questions per chap

what is stationary and examples of stationary

can i get an example of visit to the interesting place report?

do you have an expert in international contract law and CSIG ,THANKS

Modern, Contemporary, and Postmodern Art: Generally, contemporary art is described as any form of art in any medium that is generated in the present day. Though, within the a

Birth of museology: It is the study of the "museum experience" seen both through the eyes of the institution, and the visitor. The motivation factors for both of the groups that r

QUESTION 1 (a) How would define creativity? (b) What are the characteristics of a creative thinker? (c) Describe the 5 important steps in the creative process QUESTIO

Ask question 1. Two truck drivers for a moving company, while loading a desk, found $1000 that had fallen out of the desk. They knew who the owner was but instead of returning it

FITS TO MERCHANTS An illustration of street markets accept credit cards For merchants, a credit card transaction is frequently added more security than other types of paymen