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

Operations Management, 1.Sam Lucarelli, owner of Lucarelli Products, is eva...

1.Sam Lucarelli, owner of Lucarelli Products, is evaluating whether to produce a new product line. After thinking through the production process and the costs of raw materials and

Dot plot, The more effective display than a number of other methods or tech...

The more effective display than a number of other methods or techniques, for instance, pie charts and bar charts, for displaying the quantitative data which are labeled. An instanc

Probabilistic matching, Probabilistic matching is a method developed to ma...

Probabilistic matching is a method developed to maximize the accuracy of the linkage decisions based on the level of agreement and disagreement among the identifiers on different

Correspondence analysis, The method or technique for displaying the relatio...

The method or technique for displaying the relationships between categorical variables in a type of the scatter plot diagram. For two this type of variables displayed in the form o

Explain maternal mortality, Maternal mortality : The maternal death is the ...

Maternal mortality : The maternal death is the death of a woman while pregnant, delivering a baby or within 42 days of the termination of pregnancy, from any reason related to or a

Differences-in-differences estimator, The estimator of the group by the tim...

The estimator of the group by the time period interaction in a study in which the subjects in two different groups are observed in two different time periods. Normally one of th

Explain o. j. simpson paradox, O. J. Simpson paradox is a term coming from...

O. J. Simpson paradox is a term coming from the claim made by the defence lawyer in murder trial of O. J. Simpson. The lawyer acknowledged that the statistics demonstrate that onl

Hypotheses, a company suppliers specialized, high tensile Pins to customers...

a company suppliers specialized, high tensile Pins to customers. It uses an automatic lathe to produce the pins. Due to the factors such as vibration, temperature and wear and tear

Discriminant analysis, A term which covers the large number of techniques f...

A term which covers the large number of techniques for the analysis of the multivariate data which have in common the aim to assess whether or not the set of variables distinguish

Likelihood, Likelihood is the probability of a set of observations provide...

Likelihood is the probability of a set of observations provided the value of some parameter or the set of parameters. For instance, the likelihood of the random sample of n observ

Write Your Message!

Name

Email id

Message

Verfication Code

User Account

All Pages