Questions tagged [white-test]

Test for heteroskedasticity in the errors of a regression model. $H_0\colon$ errors are homoshedastic and independent of regressors, and the model is well specified.

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White test for heteroscedasticity of simple linear regression in R [duplicate]

The question is straightforward: How to implement White test (a test for heteroscedasticity) for a simple linear regression model (lm object) in R? I have tried "whites.htest(var.model)", however, ...
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1answer
203 views

How to use White-test to check if the heteroscedasticity has been effectively dealt with by a WLS?

Consider an OLS model with $n$ observations and $p$ explanatory variables (including an intercept term) $$y=X\beta + \epsilon$$ We may use a White test to (approximately) check for the presence of ...
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1answer
293 views

White noise test taking into account homoscedasticity

I try to test a time series for white noise. The ultimate goal is to show that scaling volatility from daily to longer time periods by the square-root of time rule is justified. Fore white noise I ...
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2answers
842 views

Is there a way to calculate R-squared in OLS without computing the coefficients?

The background of my question is that for e.g. the White heteroskedasticity test or the Breusch-Godfrey (LM) autocorrelation test, we are generally only interested in the R-squared of the "auxiliary" ...
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0answers
998 views

Setting up auxiliary regression for white test on regression with breakpoint dummies

I am trying to test for heteroskedasticity in a model which incorporates breakpoint trend and intercept dummies (the model is basically the Zivot and Andrews ADF breakpoint unit root test). I am ...
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1answer
59 views

White test with large model and few samples impossible?

I have a linear model with 12 regressors and sample size 42, which I want to test for heteroscedasticity. Hence, I applied a white test in the following way regress $y=X\beta + e$ regress residuals $\...
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0answers
1k views

White's test in R gives different result from manual calculation

To verify the function AER::bptest, I manually calculate the test statistic. The manual method and R function give the same result for the Breusch-Pagan test, but ...
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1answer
38k views

White's test for heteroskedasticity in R

I am trying to estimate heteroskedasticity in R. I had Eviews available in my college's lab but not at home. I have been trying to use "het.test" package and ...
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2answers
18k views

What does the notation like 8.6e-28 mean? What is the 'e' for?

I have a problem with the interpretation of a test result in which the p-value is 8.6e-28. How should it be interpreted? What is the ...
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2answers
62k views

Breusch-Pagan test for heteroscedasticity contradicts White's test?

Testing for heteroscedasticity I get these results: Breusch-Pagan / Cook-Weisberg test for heteroskedasticity $H_0$: Constant variance $H_a$: Heteroskedasticity ...