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

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

Bonferroni correction, Bonferroni correction : A procedure for guarding aga...

Bonferroni correction : A procedure for guarding against the rise in the probability of a type I error when performing the multiple signi?cance tests. To maintain probability of a

Outlier, Outlier is an observation which seems to deviate markedly from th...

Outlier is an observation which seems to deviate markedly from the other members of the sample in which it happens. In the set of systolic blood pressures, {125, 128, 130, 131, 19

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

Fuzzy set theory, A radically different approach of dealing with the uncert...

A radically different approach of dealing with the uncertainty than the traditional probabilistic and the statistical methods. The necessary feature of the fuzzy set is a membershi

Gauss markov theorem, This is the theorem which states that if the error te...

This is the theorem which states that if the error terms in a multiple regression have the same variance and are not corrected, then the estimators of the parameters in the model p

Prepare a depreciation schedule for the rental equipment, Sam Tyler, a sing...

Sam Tyler, a single taxpayer, social security number 111-44-1111, bought Rental Equipment on 04/01/2010. He paid $400,000 including all closing and delivery costs. In the current y

Probability, show all the ways in which 3 games of football can be conclude...

show all the ways in which 3 games of football can be concluded(it can be a win W,a loss L,or a draw X)

Functional data analysis, The analysis of data which are the functions obse...

The analysis of data which are the functions observed continuously, for instance, functions of time. Basically a collection of statistical techniques or methods for answering quest

Cascadedparameters, Cascadedparameters: A group of parameters which is int...

Cascadedparameters: A group of parameters which is interlinked and where selecting the value for the ?rst parameter affects the choice and option available in the subsequent param

Write Your Message!

Name

Email id

Message

Verfication Code

User Account

All Pages