Perform a white test for heteroskedasticity, Other Subject

Assignment Help:

Perform a White test for heteroskedasticity using auxiliary regressions. Attach your results, and write out the form of the test as well as the value of the statistic and its interpretation.

Answer: Sometimes the researcher wish to verify if more than one variable is proportionality factor in the heteroscedasticity process: in these situations it is preferable to consider the Breush Pagan test or the White test. The White test has the advantage that it does not assume a specic form of heteroscedasticity.

It is based on a auxiliary regression with suqred residuals as dependent variable and regressors given by: the regressors of the initial model,, their squares and their cross-products. The White test procedure is as follows:

1 - we estimate the regression model throught OLS obtaining the OLS residuals, ei. For instance we estimate: ^yi = b0 + b1x1i + b2x2i, then ei = yi  y^i;

2 - we estimate an auxiliary regression model with e2i as dependent variable and initial regressors, their squares and cross-products as covariates. For instance, we estimate:e2i =0 +1x1i + 2x2i + 3x21i +4x22i +5x1ix2i.3 - we verify the signicance of the auxiliary regression throught the test nR2, which, under the null hypothesis (omoscedasticity) has ­2(q), where the degrees of freedom q are equal to the number of regressors in the auxiliary model. In the example q = 5.4 - if the sample value of the ­2(q) is greater than the critical one we reject the null hypothesis of omoscedasticity.


Related Discussions:- Perform a white test for heteroskedasticity

#algebra2, Which describes the polynomial 3x3 2x + 1?

Which describes the polynomial 3x3 2x + 1?

Six steps to successful public speaking, Do your experts should provide Six...

Do your experts should provide Six Steps to Successful Public Speaking Questions assignment help? I get a new assignment and I m stuck in my assignment I need urgent help in my col

Milgrams and aschs experiments, 1) How would your orientations to life (you...

1) How would your orientations to life (your ideas, attitudes, values, goals) be different if you had been reared in an agricultural society? the patterns of human society diffe

New media communication technologies, New Media Communication Technologies:...

New Media Communication Technologies: Here are some contemporary New Media communication technologies that are a mix of mass communication and interpersonal communication. Que

Explain the importance of each of the stages, QUESTION 1 Change is a co...

QUESTION 1 Change is a complex process and people involved in change management need to consider several key areas such as stakeholders, goals, and Identify and describe the ot

Describe the various stages in the production of wine, Problem 1: i. Di...

Problem 1: i. Distinguish between Commercial and Institutional Catering. ii. How are cost factors treated in Commercial and Institutional Catering? iii. What kind of Food

Connect Fractions to Divison, 12 friends share 4 pizza equally. What fracti...

12 friends share 4 pizza equally. What fraction of a pizza will each friend get

Describe plato''s concept of education, Question 1 Describe Plato's con...

Question 1 Describe Plato's concept of education Question 2 Critically Describe Locke's Social Contract Theory Question 3 Describe  Bentham's views on jurispru

Economic growth of developing countries, Question 1 "Foreign Aid impact...

Question 1 "Foreign Aid impacts positively on Economic Growth of Developing Countries" [Burnside and Dollar (2000)] a) Using new insights from the literature, critically

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