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 nR2 >

MTB > let c20 = c11*c11 

MTB > let c21 = c15*c15

C20 = sqres

C21 = sqrfits

C11 = RESI1

C15 = FITS1

Regression Analysis: sqres versus sqfits

The regression equation is

sqres = 0.00597 + 0.0168 sqfits

Predictor      Coef   SE Coef     T      P

Constant   0.005967  0.001281  4.66  0.000

sqfits     0.016760  0.009539  1.76  0.079

S = 0.0125463   R-Sq = 0.2%   R-Sq(adj) = 0.1%

Analysis of Variance

Source            DF         SS         MS     F      P

Regression         1  0.0004859  0.0004859  3.09  0.079

Residual Error  1517  0.2387891  0.0001574

Total           1518  0.2392750

MTB > let k1 = 1519*0.02

MTB > print k1

Data Display

K1    30.3800

Inverse Cumulative Distribution Function

Chi-Square with 1 DF

P( X <= x )        x

       0.95  3.84146

MTB > # Since nrsq = 1519*0.02 > chi = 3.8415, we have hetero from LM test

Since nR2 = 30.380 > 3.8415 = , there is sufficient evidence to reject H0 which suggest that there is heteroscedasticity from the Lagrange Multiplier (LM) test at 5% significance level which means that one or more slopes are not zero.

Posted Date: 3/4/2013 5:44:54 AM | Location : United States

Ask an Expert

Related Discussions:- Tests for heteroscedasticity, Assignment Help, Ask Question on Tests for heteroscedasticity, Get Answer, Expert's Help, Tests for heteroscedasticity Discussions

Write discussion on Tests for heteroscedasticity
Your posts are moderated

Write your message here..

Related Questions

Imprecise probabilities, Imprecise probabilities is a n approach used by s... Imprecise probabilities is a n approach used by soft techniques in which uncertainty is represented by the closed, convex sets of probability distributions and the probability of

Probability and random processes, how to find the PDF and CDF of a gamma ra... how to find the PDF and CDF of a gamma random variable with given equation?

Asymmetric proximity matrices, Asymmetric proximity matrices : Proximity ma... Asymmetric proximity matrices : Proximity matrices in which the non-diagonal elements, in the ith row and jth column and the jth row and ith column, are not essentially equal. Exam

Functional data analysis, The analysis of data which are the functions obse... The analysis of data which are the functions observed continuously, for instance, functions of time. Basically a collection of statistical techniques or methods for answering quest

Sequencing of 4 machines, how to resolve sequencing problem if jobs 6 given... how to resolve sequencing problem if jobs 6 given and 4 machines given. how to apply johnson rule for making to machines under this conditions. please give solution as soon as poss

Probability, Modern hotels and certain establishments make use of an electr... Modern hotels and certain establishments make use of an electronic door lock system. To open a door an electronic card is inserted into a slot. A green light indicates that the doo

Indirect standardization, Indirect standardization is the procedure of adju... Indirect standardization is the procedure of adjusting the crude mortality or morbidity rate for one or more variables by making use of a known reference population. It may, for in

Adjusted r-squared, R-squared is regarded as the coefficient of determinati... R-squared is regarded as the coefficient of determination and is used to give the proportion of the fluctuation of the variance of one variable to another variable. R-squared also

Explain kendall''s tau statistics, Kendall's tau statistics : The measures ... Kendall's tau statistics : The measures of the correlation between the two sets of rankings. Kendall's tau itself (τ) is the rank correlation coefficient based on number of inversi

Extrapolation, This process of estimating from a data set those values lyin... This process of estimating from a data set those values lying beyond range of the data. In the regression analysis, for instance, a value of the response variable might be estimate