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

Data collection - analysis and display, One of the most exciting areas of m...

One of the most exciting areas of mathematics involves the application of statistics to real-world settings to make informed decisions. In this task you will design, implement, and

Battery reduction, Battery reduction : A common term for reducing the numbe...

Battery reduction : A common term for reducing the number of variables of the interest in a study for the purposes of study and perhaps later data collection. For instance, an over

Half-normal plot, Half-normal plot is a plot for diagnosing the model inad...

Half-normal plot is a plot for diagnosing the model inadequacy or revealing the presence of outliers, in which the absolute values of, for instance, the residuals from the multipl

Queuing, The number of passengers arriving at an airport terminal average 1...

The number of passengers arriving at an airport terminal average 1200 each hour. To process passengers (check in, take luggage, etc) take an average of 6 minutes each. There are

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

Likert scales, Likert scales is often used in the studies of attitudes in ...

Likert scales is often used in the studies of attitudes in which the raw scores are based on the graded alternative responses to each of a series of queries. For instance, the sub

Hot deck, Hot deck is a method broadly used in surveys for imputing the mi...

Hot deck is a method broadly used in surveys for imputing the missing values. In its easiest form the method includes sampling with replacement m values from the sample respondent

Central tendency, explain the graphical method of measure of central tenden...

explain the graphical method of measure of central tendency

Exponential family, A family of the probability distributions of the form g...

A family of the probability distributions of the form given as here θ is the parameter and a, b, c, d are the known functions. It includes the gamma distribution, normal dis

Describe martingale, Martingale: In the gambling context the term at first...

Martingale: In the gambling context the term at first referred to a system for recouping losses by doubling the stake after each loss has occured. The modern mathematical concept

Write Your Message!

Name

Email id

Message

Verfication Code

User Account

All Pages