Glejsers test, Advanced Statistics

Assignment Help:

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 |t | > t = 1.96153

MTB > let c44 = abs (c11)

MTB > let c45 = sqrt (c7)

MTB > let c46 = 1/c7

C44 = absolutness

C45 = sqrttoexp

C46 = 1/totexp

C11 = RESI1

C7 = totexp                             

Regression Analysis: absolutness versus sqrttotexp, 1/totexp, sqtotexp

The regression equation is

absolutness = - 0.0432 + 0.00697 sqrttotexp + 3.96 ltotexp - 0.000000 sqtotexp

 

Predictor          Coef     SE Coef      T      P

Constant       -0.04319     0.06231  -0.69  0.488

sqrttotexp     0.006965    0.005250   1.33  0.185

1/totexp          3.962       1.403   2.82  0.005

sqtotexp    -0.00000003  0.00000045  -0.07  0.945

S = 0.0553218   R-Sq = 1.8%   R-Sq(adj) = 1.6%

Analysis of Variance

Source                DF        SS          MS             F      P

Regression         3    0.083167   0.027722  9.06  0.000

Residual Error  1515  4.636654  0.003060

Total                1518  4.719821

 

Source          DF    Seq SS

sqrttotexp    1  0.011248

l/totexp        1  0.071905

sqtotexp      1  0.000015

Since the ltoexp 2.82 > 1.96153 (CV), there is evidence to suggest that H0 would be rejected indicating that there is heteroscedasticity.


Related Discussions:- Glejsers test

Factorization theorem, The theorem relating structure of the likelihood to ...

The theorem relating structure of the likelihood to the concept of the sufficient statistic. Officially the necessary and sufficient condition which a statistic S be sufficient for

Quantile regression, Quantile regression is an extension of the classical ...

Quantile regression is an extension of the classical least squares from estimation of the conditional mean models to the estimation of the variety of models for many conditional q

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

Explain kolmogorov smirnov two-sample method, Kolmogorov Smirnov two-sample...

Kolmogorov Smirnov two-sample method is a distribution free technique which tests for any difference between the two populations probability distributions. The test is relied on t

Frequency distribution, The division of a sample of observations into sever...

The division of a sample of observations into several classes, together with the number of observations in each of them.  It acts as a useful summary of the main features of the da

Define model, Model is the description of the supposed structure of a set ...

Model is the description of the supposed structure of a set of observations which can range from a fairly imprecise verbal account to, more commonly, a formalized mathematical exp

Link functions, Link functions: The link function relates the linear p...

Link functions: The link function relates the linear predictor ηi to the expected value of the data. In classical linear models the mean and the linear predictor are identical

Define percentile, Percentile : The set or group of divisions which produce...

Percentile : The set or group of divisions which produce exactly 100 equal parts in the series of continuous values, like blood pressure, height, weight, etc. Hence a person with b

Multimodal distribution, what is pdf,mean & variance for multimodal distrib...

what is pdf,mean & variance for multimodal distribution?

Hypothesis testing and chi-square tests.., The results of a survey determin...

The results of a survey determined whether the age of a driver 21 years and older has any effect on the number of motor vehicle accidents in which he/she is involved. Question 1:

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd