The breusch-pagan test, Advanced Statistics

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 Q = ESS/2 > 1640_Tests for Heteroscedasticity.png

MTB > let k2=sum(c20)/1519

MTB > let c22 = c20/k2

C20 = sqres

C22 = gt

Regression Analysis: gt versus income, totexp, age, nk

The regression equation is

gt = 1.15 + 0.000130 income - 0.00135 totexp + 0.00095 age - 0.0424 nk

Predictor       Coef    SE Coef      T      P

Constant      1.1494     0.2336   4.92  0.000

income     0.0001296  0.0007340   0.18  0.860

totexp     -0.001345   0.001034  -1.30  0.193

age         0.000948   0.005248   0.18  0.857

nk          -0.04239    0.08131  -0.52  0.602

S = 1.54236   R-Sq = 0.1%   R-Sq(adj) = 0.0%

Analysis of Variance

Source              DF        SS           MS       F        P

Regression         4     5.364        1.341  0.56  0.689

Residual Error  1514  3601.594  2.379

Total                1518  3606.958

Source  DF  Seq SS

income   1   0.443

totexp   1   4.195

age      1   0.080

nk       1   0.647

MTB > let k3 = 5.364/2

MTB > print k3

Data Display

K3    2.68200

Inverse Cumulative Distribution Function

Chi-Square with 2 DF

P( X <= x )        x

       0.95  5.99146

MTB > # since Q=ESS/2 = 2.68200 < chi = 5.99 we have no hetero from Breusch-Pagan Test

Since Q = 2.68200 < 5.99 = 1640_Tests for Heteroscedasticity.png , there is sufficient evidence to accept H0 which suggests that there is no heteroscedasticity from the Breusch-Pagan test at 5% significance level which means that one or more slopes are zero.

Posted Date: 3/4/2013 5:52:00 AM | Location : United States

Related Discussions:- The breusch-pagan test, Assignment Help, Ask Question on The breusch-pagan test, Get Answer, Expert's Help, The breusch-pagan test Discussions

Write discussion on The breusch-pagan test
Your posts are moderated
Related Questions
A term usually used for unobserved individual heterogeneity. Such variation is of main concern in the medical statistics particularly in the analysis of the survival times where ha

Mauchly test is a test which a variance-covariance matrix of pair wise differences of responses in the set of longitudinal data is the scalar multiple of identity matrix, a proper

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

We are installing a router for our network. We believe that the time between the arrival of packets will be exponentially distributed with parameter R = 2 packets/second, and th

need answers to questions in book advanced and multivariate statistical methods

In the network shown below, the rst of the two numbers on each arc indicates the arc capacity and the second (in parentheses) of the two numbers indicates the current  flow. Use t

Compound symmetry : The property possessed by the variance-covariance matrix of the set of multivariate data when its chief diagonal elements are equal to each other, and in additi

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

Non linear model : A model which is non-linear in the parameters, for instance are   Some such type of models can be converted into the linear models by linearization (the s

The Null Hypothesis - H0: β 1 = 0 i.e. there is homoscedasticity errors and no heteroscedasticity exists The Alternative Hypothesis - H1: β 1 ≠ 0 i.e. there is no homoscedasti