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

Define interval-censored observations, Interval-censored observations ar...

Interval-censored observations are the observations which often occur in the context of studies of time elapsed to the particular event when subjects are not monitored regularl

Environmental statistics, The procedures used for determining how the quali...

The procedures used for determining how the quality of life is affected by the environment, in particular by factors such as air and solid wastes, water pollution, hazardous substa

Explain prospective studies, Prospective study : The studies in which indiv...

Prospective study : The studies in which individuals are followed-up over the period of time. A general example of this type of investigation is where the samples of individuals ar

Causality, Causality: The relating of the reasons to the effects they prod...

Causality: The relating of the reasons to the effects they produce. Several investigations in medicine seek to establish the causal relations between the events, for instance, whi

Random allocation, Random allocation is a technique for creating the treat...

Random allocation is a technique for creating the treatment and control groups particularly in accordance of the clinical trial. Subjects receive the active treatment or the place

Doob meyer decomposition, A theorem which shows that any counting process m...

A theorem which shows that any counting process may be uniquely decomposed as the sum of a martingale and a predictable, right-continous process called the compensator, assuming ce

Explain Genetic algorithms, Genetic algorithms: The optimization events mo...

Genetic algorithms: The optimization events motivated by the biological analogies. The prime idea is to try to mimic the 'survival of the fittest' rule of the genetic mutation in

Scatter plots, The scatter plot of SRES1 versus totexp demonstrates that th...

The scatter plot of SRES1 versus totexp demonstrates that there is non-linear relationship that exists as most of the points are below and above zero. The scatter plot show that th

Proportional allocation, how to get the proportional allocation of the give...

how to get the proportional allocation of the give stratified random sampling example

Egret, This is acronym for the Epidemiological, Graphics, Estimation and Te...

This is acronym for the Epidemiological, Graphics, Estimation and Testing of the program developed for the analysis of the data from studies in epidemiology. It can be made in use

Write Your Message!

Name

Email id

Message

Verfication Code

User Account

All Pages