Tests for heteroscedasticity, Advanced Statistics

Lagrange Multiplier (LM) test

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 > 2094_Tests for Heteroscedasticity.png

Regression Analysis: sqresi versus sqfits

The regression equation is

sqresi = 0.00517 + 0.0196 sqfits

Predictor    Coef          SE Coef       T       P        VIF

Constant   0.005173  0.001130  4.58  0.000

sqfits         0.019650  0.008395  2.34  0.019  1.000

 

S = 0.0112996   R-Sq = 0.4%   R-Sq(adj) = 0.3%

Analysis of Variance

Source             DF         SS                   MS           F      P

Regression       1        0.0006996  0.0006996  5.48  0.019

Residual Error  1500  0.1915214  0.0001277

  Lack of Fit      646    0.0819554  0.0001269  0.99  0.559

  Pure Error     854    0.1095659   0.0001283

Total           1501  0.1922209

MTB > let k1 = 1502*0.04

MTB > print k1

Data Display

K1    60.0800

Inverse Cumulative Distribution Function

Chi-Square with 1 DF

P( X <= x )        x

       0.95  3.84146

Since nR2 = (1502*0.04) 60.0800 > 3.84146 = 2094_Tests for Heteroscedasticity.png, 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: 3/5/2013 5:59:53 AM | Location : United States







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
Related Questions
Clinical vs. statistical significance : The distinction among results in terms of their possible clinical importance rather than simply in terms of their statistical importance. Wi

Mortality odds ratio  is the ratio equivalent to the odds ratio used in case-control studies where the equivalent of the cases are deaths from the cause of interest and the equival

The Null Hypothesis - H0:  There is no heteroscedasticity i.e. β 1 = 0 The Alternative Hypothesis - H1:  There is heteroscedasticity i.e. β 1 0 Reject H0 if |t | > t = 1.96

Radical statistics group : The national network of the social scientists in United Kingdom committed to the critique of statistics as taken in use in the policy making procedure. T

Information theory: This is the branch of applied probability theory applicable to various communication and signal processing problems in the field of engineering and biology. In

difference between histogram and historigram

i need help for my assignment and the deadline is Friday

Confidence interval : A range of the values, calculated from the sample observations which is believed, with the particular probability, to posses the true parameter value. A 95% c

Graphical deception : Statistical graphics which are not as honest as they should be. It is relatively simple. To mislead the unwary with the graphical material. For instance, c

How large would the sample need to be if we are to pick a 95% confidence level sample: (i) From a population of 70; (ii) From a population of 450; (iii) From a population of 1000;