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 >

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 = , 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

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

Naor''s distribution, Naor's distribution is the discrete probability dist... Naor's distribution is the discrete probability distribution which arises from the following model; Assume an urn contains n balls of which one is red and the remainder is whit

Explain household interview surveys, Household interview surveys : The surv... Household interview surveys : The surveys in which the primary sampling units are typically geographic regions such as nations or cities. For each such unit sampled, there are addi

Assignment, i need help for my assignment and the deadline is Friday i need help for my assignment and the deadline is Friday

Measure of variability, what is measures of variability? what is measures of variability?

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

Explain national lotteries, National lotteries : Games of chance held to he... National lotteries : Games of chance held to heave money for particular causes. The first held in the UK took place in the year 1569 principally to raise money for repair of the Ci

Inliers, Inliers is the term used for the observations most likely to be s... Inliers is the term used for the observations most likely to be subject to error in situations where the dichotomy is developed by making a ‘cut’ on an ordered scale, and where th

Discriminant analysis, A term which covers the large number of techniques f... A term which covers the large number of techniques for the analysis of the multivariate data which have in common the aim to assess whether or not the set of variables distinguish

Fisher''s exact test, The alternative process to make use of the chi-square... The alternative process to make use of the chi-squared statistic for assessing the independence of the two variables forming a two-by-two contingency table particularly when expect

Explain isobologram., Isobologram  is a diagram used to characterize the in... Isobologram  is a diagram used to characterize the interactions among jointly administered drugs or the chemicals. The contour of the constant response (that is the isobole), which