Perform a white test for heteroskedasticity, Other Subject

Perform a White test for heteroskedasticity using auxiliary regressions. Attach your results, and write out the form of the test as well as the value of the statistic and its interpretation.

Answer: Sometimes the researcher wish to verify if more than one variable is proportionality factor in the heteroscedasticity process: in these situations it is preferable to consider the Breush Pagan test or the White test. The White test has the advantage that it does not assume a specic form of heteroscedasticity.

It is based on a auxiliary regression with suqred residuals as dependent variable and regressors given by: the regressors of the initial model,, their squares and their cross-products. The White test procedure is as follows:

1 - we estimate the regression model throught OLS obtaining the OLS residuals, ei. For instance we estimate: ^yi = b0 + b1x1i + b2x2i, then ei = yi  y^i;

2 - we estimate an auxiliary regression model with e2i as dependent variable and initial regressors, their squares and cross-products as covariates. For instance, we estimate:e2i =0 +1x1i + 2x2i + 3x21i +4x22i +5x1ix2i.3 - we verify the signicance of the auxiliary regression throught the test nR2, which, under the null hypothesis (omoscedasticity) has ­2(q), where the degrees of freedom q are equal to the number of regressors in the auxiliary model. In the example q = 5.4 - if the sample value of the ­2(q) is greater than the critical one we reject the null hypothesis of omoscedasticity.

Posted Date: 4/1/2013 5:14:08 AM | Location : United States







Related Discussions:- Perform a white test for heteroskedasticity, Assignment Help, Ask Question on Perform a white test for heteroskedasticity, Get Answer, Expert's Help, Perform a white test for heteroskedasticity Discussions

Write discussion on Perform a white test for heteroskedasticity
Your posts are moderated
Related Questions
Psychopathology is a term which Denotes to either the study of mental illness or mental distress or the manifestation of behaviours and experiences of the human being ,which may be

SERVER ENVIRONMENT A Server is a computer that offer services used by other computers. For instance a web server serves up web pages. Services can be complete centrally by t


advantages and disadvantages of the informal sector

Perspective and Geometry: One of the major characteristics of the Italian Renaissance is the use of one-point perspective in painting to provide the illusion of three-dimensional

what are the factors affecting wastage and stagnation?How you as ateacher can overcome these factors explain with illustrations?


need for documents in international business?give suitable exambles

i want to buy best writing term papers in APA format. Can you help me in writing APA formatting term papers, i can buy with your quote...

aims of education?