Whites general heteroscedasticity test, Advanced Statistics

Assignment Help:

The Null Hypothesis - H0:  γ1 = γ2 = ...  =  0  i.e.  there is no heteroscedasticity in the model

The Alternative Hypothesis - H1:  at least one of the γi's are not equal to zero i.e. the squared residuals are related to one of the independent variables.

Reject H0 if nR2 > 1640_Tests for Heteroscedasticity.png

MTB > let c23 = c7*c7

MTB > let c24 = c8*c8

MTB > let c25 = c9*c9

MTB > let c26 = c10*c10

MTB > let c27 = c7*c8

MTB > let c28 = c7*c9

MTB > let c29 = c7*c10

MTB > let c30 = c8*c9

MTB > let c31 = c8*c10

MTB > let c32 = c9*c10

C7 = totexp

C8 = income

C9 = age

C10 = nk

C23 = sqtotexp

C24 = sqincome

C25 = sqage

C26 = sqnk

C27 = totexpincome

C28 = totexpage

C29 = totexpnk

C30 = incomeage

C31 = incomenk

C32 = agenk

Regression Analysis: sqres versus totexp, income, ...

* sqnk is highly correlated with other X variables

* sqnk has been removed from the equation.

The regression equation is

sqres = 0.0178 - 0.000232 totexp + 0.000023 income + 0.000298 age - 0.00555 nk

        + 0.000001 sqtotexp + 0.000000 sqincome - 0.000005 sqage

        - 0.000000 totexpincome + 0.000003 totexpage + 0.000015 totexpnk

        - 0.000001 incomeage + 0.000035 incomenk - 0.000021 agenk

 

Predictor            Coef     SE Coef      T      P

Constant         0.017804    0.007900   2.25  0.024

totexp        -0.00023207  0.00005370  -4.32  0.000

income         0.00002344  0.00003865   0.61  0.544

age             0.0002978   0.0003511   0.85  0.396

nk              -0.005551    0.003233  -1.72  0.086

sqtotexp       0.00000060  0.00000011   5.65  0.000

sqincome       0.00000004  0.00000002   1.79  0.074

sqage         -0.00000464  0.00000427  -1.09  0.277

totexpincome  -0.00000041  0.00000013  -3.27  0.001

totexpage      0.00000259  0.00000110   2.36  0.018

totexpnk       0.00001477  0.00001740   0.85  0.396

incomeage     -0.00000110  0.00000090  -1.22  0.223

incomenk       0.00003506  0.00001355   2.59  0.010

agenk         -0.00002146  0.00008647  -0.25  0.804

S = 0.0123952   R-Sq = 3.4%   R-Sq(adj) = 2.5%

Analysis of Variance

Source            DF         SS         MS     F      P

Regression        13  0.0080446  0.0006188  4.03  0.000

Residual Error  1505  0.2312304  0.0001536

Total           1518  0.2392750

 

Source        DF     Seq SS

totexp         1  0.0003007

income         1  0.0000070

age            1  0.0000053

nk             1  0.0000429

sqtotexp       1  0.0037616

sqincome       1  0.0000507

sqage          1  0.0001055

totexpincome   1  0.0010903

totexpage      1  0.0005678

totexpnk       1  0.0009260

incomeage      1  0.0001557

incomenk       1  0.0010217

agenk          1  0.0000095

 

MTB > let k4=1519*0.034

MTB > print k4

 

Data Display

 

K4    51.6460

 

MTB > InvCDF 0.95;

SUBC>   ChiSquare 13.

 

Inverse Cumulative Distribution Function

Chi-Square with 13 DF

P( X <= x )        x

       0.95  22.3620

MTB > # Since nrsq = 1519*0.034= 51.6460 > chi=22.360 we have hetero from white test# Also both B-P and White test seem to indicate that totexp is the culprit

Since nrsq = 51.6460 > 22.360 = , there is sufficient evidence to reject H0 which suggests that there is heteroscedasticity in the model from White's general heteroscedasticity test at the 5% significance level.  Both Breusch Pagan test and White's general heteroscedasticity test seem to indicate that totexp is the culprit as the T value is significant and the P-value is 0.000.


Related Discussions:- Whites general heteroscedasticity test

Ehrenberg''s equation, The equation linking the height and weight of the ch...

The equation linking the height and weight of the children between the ages of 5 and 13 and given as follows   here w is the mean weight in kilograms and h the mean height in

Determine the optimal strategy for the breeder, Consider a decision faced b...

Consider a decision faced by a cattle breeder. The breeder must decide how many cattle he should sell in the market each year and how many he should retain for breeding purposes. S

Artificial neural network, Artificial neural network : A mathematical arran...

Artificial neural network : A mathematical arrangement modelled on the human neural network and designed to attack various statistical problems, particularly in the region of patte

Regression analyze, I do have a data of real gdp for each state and from 20...

I do have a data of real gdp for each state and from 2000 to 2010 and I also have estimated population of illigel immigrants for each state from 2000 to 2010. In my thesis I am try

correlation, i will like to submit my project for you to do on chi-square,...

i will like to submit my project for you to do on chi-square, ANOVA, and correlation and simple regression. how can we do this?

Ecological fallacy, The term used when the aggregated data (for instance, a...

The term used when the aggregated data (for instance, aggregated over different areas) are analysed and the results supposed to apply to the relationships at the individual level.

Hosmer-lemeshow test, Hosmer-Lemeshow test is a goodness-of-fit test taken...

Hosmer-Lemeshow test is a goodness-of-fit test taken in use in logistic regression, particularly when there are regular covariates. Units are spitted into deciles based on predict

Glejser test, Glejser test is the test for the heteroscedasticity in the e...

Glejser test is the test for the heteroscedasticity in the error terms of the regression analysis which involves regressing the absolute values of the regression residuals for the

Outliers - reasons for screening data, Outliers - Reasons for Screening Dat...

Outliers - Reasons for Screening Data Outliers are due to data entry errors, subject is not a member of the population that the sample is trying to represent, or the subject i

Bivariate boxplot, Bivariate boxplot : A bivariate analogue of boxplot in w...

Bivariate boxplot : A bivariate analogue of boxplot in which the inner area contains 50%of the data, and a 'fence' helps to identify the potential outliers. Robust methods or techn

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