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

Explain markers of disease progression, Markers of disease progression : Qu...

Markers of disease progression : Quantities which form a general monotonic series throughout the course of the disease and assist with its modelling. In uasual such quantities are

Barrett and marshall model for conception, Barrett and Marshall Model for c...

Barrett and Marshall Model for conception : A biologically reasonable model for the probability of conception in a particular menstrual cycle, which supposes that the batches of sp

Data squashing, An approach to decrease the size of very large data sets in...

An approach to decrease the size of very large data sets in which the data are first 'binned' and then statistics such as the mean and variance/covariance are calculated on each bi

Locally weighted regression, Locally weighted regression  is the method of ...

Locally weighted regression  is the method of regression analysis in which the polynomials of degree one (linear) or two (quadratic) are used to approximate regression function in

Pascal''s triangle, Pascal's triangle  is an arrangement of numbers describ...

Pascal's triangle  is an arrangement of numbers described by Pascal in his Traité du Triangle Arithmétique published in the year 1665 as 'The number in each cell is equal to in the

Bayesian inference, Bayesian inference : An approach to the inference based...

Bayesian inference : An approach to the inference based largely on Bayes' Theorem and comprising of the below stated principal steps: (1) Obtain the likelihood, f x q describing

Statistical & Quantitative Methods , Given: There are 4 jobs and 4 persons...

Given: There are 4 jobs and 4 persons. The cost incurred for each person and each job is as follows: Persons Job 1 Job 2 Job 3 Job 4 A 10 9 21 11 B 15 12 25 17 C 12 10 20 12 D 17

Explain information theory., Information theory: This is the branch of app...

Information theory: This is the branch of applied probability theory applicable to various communication and signal processing problems in the field of engineering and biology. In

Describe non linear model, Non linear model : A model which is non-linear i...

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

Mendelian randomization, Mendelian randomization is the term applied to th...

Mendelian randomization is the term applied to the random assortment of alleles at the time of gamete formation, a process which results in the population distributions of genetic

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