White''s 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   >   2094_Tests for Heteroscedasticity.png

Regression Analysis: sqresi versus totexp, age, ...

* sqnk is highly correlated with other X variables

* sqnk has been removed from the equation.

 

The regression equation is

sqresi = 0.00086 - 0.000117 totexp + 0.000765 age + 0.00007 nk

         + 0.000000 sqtotexp - 0.000009 sqage + 0.000000 totexpage

         + 0.000026 totexpnk - 0.000077 agenk

 

Predictor         Coef     SE Coef      T      P     VIF

Constant      0.000857    0.007288   0.12  0.906

totexp     -0.00011676  0.00004906  -2.38  0.017  49.148

age          0.0007649   0.0003256   2.35  0.019  73.466

nk            0.000072    0.002941   0.02  0.980  24.250

sqtotexp    0.00000019  0.00000010   2.00  0.045  13.958

sqage      -0.00000879  0.00000394  -2.23  0.026  62.515

totexpage   0.00000021  0.00000097   0.21  0.831  37.830

totexpnk    0.00002598  0.00001464   1.77  0.076  18.920

agenk      -0.00007694  0.00007905  -0.97  0.331  32.566

S = 0.0112807   R-Sq = 1.2%   R-Sq(adj) = 0.6%

 

Analysis of Variance

Source            DF         SS         MS     F      P

Regression         8  0.0022313  0.0002789  2.19  0.026

Residual Error  1493  0.1899897  0.0001273

  Lack of Fit    639  0.0804237  0.0001259  0.98  0.601

  Pure Error     854  0.1095659  0.0001283

Total           1501  0.1922209

 

 332 rows with no replicates

Source     DF     Seq SS

totexp      1  0.0006642

age         1  0.0000000

nk          1  0.0000026

sqtotexp    1  0.0005240

sqage       1  0.0005895

totexpage   1  0.0000013

totexpnk    1  0.0003292

agenk       1  0.0001206

 

MTB > let k4=1502*0.012

MTB > print k4

Data Display

K4    18.0240

Inverse Cumulative Distribution Function

Chi-Square with 8 DF

P( X <= x )        x

       0.95  15.5073

Since nrsq = (1502*0.012) 18.024 > 15.5073 = 2094_Tests for Heteroscedasticity.png, 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:- White''s general heteroscedasticity test

Explain lie factor, Lie factor : A measure suggested by Tufte for judging t...

Lie factor : A measure suggested by Tufte for judging the honesty of the graphical presentation of data. Which can be calculated as follows   The values close to one are desir

Exploratory data analysis, The approach to data analysis which emphasizes t...

The approach to data analysis which emphasizes the use of informal graphical procedures not based on former assumptions about structure of the data or on the formal models for the

Factorial designs, Designs which permits two or more questions to be addres...

Designs which permits two or more questions to be addressed in the investigation. The easiest factorial design is one in which each of the two treatments or interventions are p

Protocol, Protocol is the formal document outlining the proposed process f...

Protocol is the formal document outlining the proposed process for carrying out the clinical trial. The basic features of the document are to study the objectives, patient selecti

Daycare, facts and statistics about daycare

facts and statistics about daycare

Case Study, ACC – A pioneer in the Indian cement industry Associated Cemen...

ACC – A pioneer in the Indian cement industry Associated Cement Companies Ltd. (ACC) came into existence in 1936, after the merger of 10 companies belonging to four important bus

Convex hull trimming, Convex hull trimming : A procedure which can be appli...

Convex hull trimming : A procedure which can be applied to the set of bivariate data to permit robust estimation of the Pearson's product moment correlation coef?cient. The points

Describe non linear model, Non linear model : A model which is non-linear i...

Non linear model : A model which is non-linear in the parameters, for instance are   Some such type of models can be converted into the linear models by linearization (the s

Last observation carried forward, Last observation carried forward is a te...

Last observation carried forward is a technique for replacing the observations of the patients who drop out of the clinical trial carried out over a time period. It consists of su

Factor rotation, Generally the final stage of an exploratory factor analysi...

Generally the final stage of an exploratory factor analysis in which factors derived initially are transformed to build their interpretation simpler. Generally the target of the pr

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