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

Measurement tools, Select a specific patient/patient group. Identify the cl...

Select a specific patient/patient group. Identify the clinical problems they may have. Identify an appropriate measurement tools (or more than one tool) that may be used in the ove

Pathophysiology, Just in terms of the hydrostatic and osmotic pressures in ...

Just in terms of the hydrostatic and osmotic pressures in blood vessels, explain what would promote the accumulation of excess fluid in the interstitial space?

Explain the problem of bullying, Problem: (a) What are the most serious...

Problem: (a) What are the most serious problems faced by children across the world? (b) Explain the problem of bullying in situations or contexts where human beings interact

Build a warm trusting relationship, Counselling occurs in a reciprocal rela...

Counselling occurs in a reciprocal relationship. A warm trusting relationship between the counsellor and client requires to be built up if change is going to take place. The client

Explain gender communication, (a) Explain gender communication stating the ...

(a) Explain gender communication stating the different communication styles. (b) Describe how different communication styles of men and women cause problems in relationships.

Post world war 1, Describe the agreements made during the war that shaped t...

Describe the agreements made during the war that shaped the postwar world. In your view, did Roosevelt "sell out" to the Soviets?

Security key in paypal, Security key In early 2007, PayPal initiate an ...

Security key In early 2007, PayPal initiate an optional security key as an supplementary safety measure against fraud. A user account attached to a security key has a customize

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