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

Define high-dimensional data, High-dimensional data : This term used for da...

High-dimensional data : This term used for data sets which are characterized by the very large number of variables and a much more modest number of the observations. In the 21 st

Paired samples, Paired samples are the two samples of the observations wit...

Paired samples are the two samples of the observations with the characteristic feature with each of the observation in one sample have only one matching observation in the other s

Persson rootze ´n estimator, Persson Rootze ´n estimator  is an estimator f...

Persson Rootze ´n estimator  is an estimator for the parameters in the normal distribution when the sample is truncated so that all the observations under some fixed value C are re

Disclosure risk, The risk of being able to recognize the respondent's confi...

The risk of being able to recognize the respondent's confidential information in the data set. Number of approaches has been proposed to measure the disclosure risk some of which c

Sequencing problem, 2 jobs n machines,graphical method,how to determine wh...

2 jobs n machines,graphical method,how to determine which job should proceed first on each machine

Indirect standardization, Indirect standardization is the procedure of adju...

Indirect standardization is the procedure of adjusting the crude mortality or morbidity rate for one or more variables by making use of a known reference population. It may, for in

Null hypothesis model, The Null Hypothesis - H0: Model does not fit the dat...

The Null Hypothesis - H0: Model does not fit the data i.e. all slopes are equal to zero β 1 =β 2 =...=β k =  0 The Alternative Hypothesis - H1:  Model does fit the data i.e. at

Composite sampling, A procedure whereby the collection of multiple sample u...

A procedure whereby the collection of multiple sample units are combined in their entirety or in part, to form the new sample. One or more succeeding measurements are taken on the

File drawer problem, The problem that the studies are not uniformly probabl...

The problem that the studies are not uniformly probable to be published in the scientific journals. There is evidence that the statistical significance is a main determining factor

Classification matrix, Classification matrix: A term many times used in di...

Classification matrix: A term many times used in discriminant analysis for the matrix summarizing the results and outputs obtained from the derived classi?cation rule, and obtaine

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