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

Zero-inflated poisson regression, Zero-inflated Poisson regression is the...

Zero-inflated Poisson regression is the model for count data with the excess zeros. It supposes that with probability p the only possible observation is 0 and with the probabilit

Z-tests, Hello! I am currently in graduate school earning a masters in ment...

Hello! I am currently in graduate school earning a masters in mental health counseling. I am in a stats course at current and we are reviewing z-scores. I am a little lost because

Log-linear models, Log-linear models is the models for count data in which...

Log-linear models is the models for count data in which the logarithm of expected value of a count variable is modelled as the linear function of parameters; the latter represent

Compute the portfolio expected return, (a) You are trying to develop a stra...

(a) You are trying to develop a strategy for investing in two different stocks, Stock A and Stock B. The anticipated annual return for a $1000 investment in each stock under four

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

Odds ratio, Odds ratio is the ratio of the odds for the binary variable in...

Odds ratio is the ratio of the odds for the binary variable in two groups of the subjects, such as, males and females. If the two possible states of variable are labeled as 'succe

Population averaged models, Population averaged models are the models for ...

Population averaged models are the models for kind of clustered data in which the marginal expectation of response variable is the main focus of interest. An alternative approach

Parks test, The Null Hypothesis - H0: β 1 = 0 i.e. there is homoscedastici...

The Null Hypothesis - H0: β 1 = 0 i.e. there is homoscedasticity errors and no heteroscedasticity exists The Alternative Hypothesis - H1: β 1 ≠ 0 i.e. there is no homoscedasti

Bayesian network, Bayesian network : It is essentially an expert system in ...

Bayesian network : It is essentially an expert system in which the uncertainty is dealt with using the conditional probabilities and Bayes' Theorem. Formally such type of network c

Individual differences, Individual differences scaling is a form of multid...

Individual differences scaling is a form of multidimensional scaling applicable to the data comprising of a number of proximity matrices from the different sources that is differe

Write Your Message!

Name

Email id

Message

Verfication Code

User Account

All Pages