Tests for heteroscedasticity, 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 nR2 > 1640_Tests for Heteroscedasticity.png

MTB > let c20 = c11*c11

MTB > let c21 = c15*c15

C20 = sqres

C21 = sqrfits

C11 = RESI1

C15 = FITS1

Regression Analysis: sqres versus sqfits

The regression equation is

sqres = 0.00597 + 0.0168 sqfits

Predictor Coef SE Coef T P

Constant 0.005967 0.001281 4.66 0.000

sqfits 0.016760 0.009539 1.76 0.079

S = 0.0125463 R-Sq = 0.2% R-Sq(adj) = 0.1%

Analysis of Variance

Source DF SS MS F P

Regression 1 0.0004859 0.0004859 3.09 0.079

Residual Error 1517 0.2387891 0.0001574

Total 1518 0.2392750

MTB > let k1 = 1519*0.02

MTB > print k1

Data Display

K1 30.3800

Inverse Cumulative Distribution Function

Chi-Square with 1 DF

P( X <= x ) x

0.95 3.84146

MTB > # Since nrsq = 1519*0.02 > chi = 3.8415, we have hetero from LM test

Since nR2 = 30.380 > 3.8415 = 1640_Tests for Heteroscedasticity.png , 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.

Related Discussions:- Tests for heteroscedasticity

The breusch-pagan test, The Null Hypothesis - H0: There is no heteroscedas...

The Null Hypothesis - H0: There is no heteroscedasticity i.e. β 1 = 0 The Alternative Hypothesis - H1: There is heteroscedasticity i.e. β 1 0 Reject H0 if Q = ESS/2 >

Chapter 7&8, Chapter 7 2. Describe the distribution of sample means (shape...

Chapter 7 2. Describe the distribution of sample means (shape, expected value, and standard error) for samples of n =36 selected from a population with a mean of µ = 100 and a sta

Negative binomial distribution, Negative binomial distribution is the prob...

Negative binomial distribution is the probability distribution of number of failures, X, before the kth success in the sequence of Bernoulli trials where the probability of succes

Helmert contrast, Helmert contrast is the contrast often used in analysis ...

Helmert contrast is the contrast often used in analysis of the variance, in which each level of a factor is tested against average of the remaining levels. So, for instance, if th

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

Clinical trials, Clinical trials : Medical experiments designed to assess w...

Clinical trials : Medical experiments designed to assess which of two or more treatments is much more effective. It is based on one of the oldest philosophy of the scienti?c resear

Determinant, A value related with the square matrix which represents sums a...

A value related with the square matrix which represents sums and products of its elements. For instance, if the matrix is then the determinant of A (conventionally written as

Factor scores, The values assigned to factors for the individual sample uni...

The values assigned to factors for the individual sample units in a factor analysis. The most common approach is "regression method". When the factors are seen as the random variab

Describe hello-goodbye effect., Hello-goodbye effect : The phenomenon initi...

Hello-goodbye effect : The phenomenon initially described in psychotherapy research, but one which might arise whenever a subject is assessed on two occasions, with some interventi

Ecm algorithm, This is extension of the EM algorithm which typically conver...

This is extension of the EM algorithm which typically converges more slowly than EM in terms of the iterations but can be much faster in the whole computer time. The general idea o

Write Your Message!

Name

Email id

Message

Verfication Code

User Account

All Pages