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

Recursive models, Recursive models are the statistical models in which the...

Recursive models are the statistical models in which the causality flows in one direction, that is models which include only unidirectional effects. Such type of models do not inc

Direct edacyclic graph, Formal graphical representation of the "causal diag...

Formal graphical representation of the "causal diagrams" or the "path diagrams" where the  relationships are directed but acyclic (that is no feedback relations allowed). Plays an

Conditional probability, Conditional probability : The probability that an ...

Conditional probability : The probability that an event occurs given the outcome of other event. Generally written, Pr(A|B). For instance, the probability of a person being color b

Explain regression through the origin, Regression through the origin : In s...

Regression through the origin : In some of the situations a relationship between the two variables estimated by the regression analysis is expected to pass by the origin because th

Geographical analysis machine, Geographical analysis machine is the proced...

Geographical analysis machine is the procedure designed to detect the clusters of rare diseases in a particular area. Circles of fixed radii are created at each point of the squar

Distribution free methods, The statistical methods for estimation and infer...

The statistical methods for estimation and inference which are based on a function of sample observations, probability distribution of which does not rely upon a complete speci?cat

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

SCATTER DIAGRAM, MEANING ,IMPORTANCE AND RELEAVANCE OF SCATTER DIAGRAM

MEANING ,IMPORTANCE AND RELEAVANCE OF SCATTER DIAGRAM

Define radical statistics group, Radical statistics group : The national ne...

Radical statistics group : The national network of the social scientists in United Kingdom committed to the critique of statistics as taken in use in the policy making procedure. T

Change point problems, Change point problems : Problems with chronologicall...

Change point problems : Problems with chronologically ordered data collected over the period during which there is known to have been a change in the underlying data generation cou

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