Tests for heteroscedasticity, Advanced Statistics

Assignment Help:

Lagrange Multiplier (LM) test

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 > 2094_Tests for Heteroscedasticity.png

Regression Analysis: sqresi versus sqfits

The regression equation is

sqresi = 0.00517 + 0.0196 sqfits

Predictor    Coef          SE Coef       T       P        VIF

Constant   0.005173  0.001130  4.58  0.000

sqfits         0.019650  0.008395  2.34  0.019  1.000

 

S = 0.0112996   R-Sq = 0.4%   R-Sq(adj) = 0.3%

Analysis of Variance

Source             DF         SS                   MS           F      P

Regression       1        0.0006996  0.0006996  5.48  0.019

Residual Error  1500  0.1915214  0.0001277

  Lack of Fit      646    0.0819554  0.0001269  0.99  0.559

  Pure Error     854    0.1095659   0.0001283

Total           1501  0.1922209

MTB > let k1 = 1502*0.04

MTB > print k1

Data Display

K1    60.0800

Inverse Cumulative Distribution Function

Chi-Square with 1 DF

P( X <= x )        x

       0.95  3.84146

Since nR2 = (1502*0.04) 60.0800 > 3.84146 = 2094_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

Generaliz ability theory, The theory of measurement which recognizes that i...

The theory of measurement which recognizes that in any measurement situation there are multiple (actually infinite) sources of variation (known as facets in the theory), and that a

Protopathic bias, Protopathic bias is the type of bias (also called as rev...

Protopathic bias is the type of bias (also called as reverse-causality) that is a consequence of differential misclassification of the exposure related to timing of occurrence. It

Double-dummy technique, It is the technique used in the clinical trials whe...

It is the technique used in the clinical trials when it is possible to make an acceptable place before an active treatment but not to make the two active treatments identical. In t

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

Explain perturbation theory, Perturbation theory : The theory useful in ass...

Perturbation theory : The theory useful in assessing how well a specific algorithm or the statistical model performs when the observations suffer less random changes. In very commo

Fisher''s exact test, The alternative process to make use of the chi-square...

The alternative process to make use of the chi-squared statistic for assessing the independence of the two variables forming a two-by-two contingency table particularly when expect

Dropout, A subject who withdraws from the study for whatever reason, advers...

A subject who withdraws from the study for whatever reason, adverse side effects, noncompliance, moving away from the district, etc. In number of cases the reason may not be known.

Breusch-pagan test, The Null Hypothesis - H0:  There is no heteroscedastici...

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  >

Residual calculation, Regression line drawn as y= c+ 1075x ,when x was2, an...

Regression line drawn as y= c+ 1075x ,when x was2, and y was 239,given that y intercept was 11. Calculate the residual ?

Daycare, facts and statistics about daycare

facts and statistics about daycare

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