As of May 31, 2023, we have updated our Code of Conduct.

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.

18 questions
Filter by
Sorted by
Tagged with
234 views

Differences between Breusch Pagan and White test for equal variance?

I need some clarification on what are the differences between the BP and White test when testing for equal variance. I have a few questions about this. I don’t fully understand what it means that the ...
• 129
15 views

Is it valid to perform a stationarity test on a single frequency of a time-frequency spectrum?

Am I violating any assumptions if I perform a test such as the KPSS test on a single frequency band of a time-frequency spectrum?
839 views

Trying to use the white test in r

I am doing a regression on the influence on marketing spending. I have already tested for heteroskedasticity with the Breusch-Pagan Test and found that the test came out positive. Based on the ...
• 13
482 views

White-Test: Use F-Statistic or LM-statistic?

to interpret the White-Test, it is recommended to use the LM-statistic = N*R-squared of the auxiliary regression which follows a Chi-squared distribution with df = number of restrictions. But I ...
• 65
37 views

Is there heteroskedasticity or not?

I carried out White's test for a particular model to check for heteroskedasticity. I got the following results for White's test (details shown below). AS it can be seen the p-value (0.299) isn't that ...
• 23
214 views

Robust standard errors (White) under homoscedasticity

Robust standard errors (White standard errors) are given by: $$\hat{V}(b)=(\sum_{i=1}^N x_ix_i')^{-1}(\sum_{i=1}^N e_i^2x_ix_i')(\sum_{i=1}^N x_ix_i')^{-1}$$ This helps us to estimate a asymptotic ...
1 vote
72 views

Heteroskedasticity tests: heavy-tailedness of squared estimated errors

I have a time series model and obtain the following distribution of estimated errors: I suspect that the errors are heteroscedastic in the sense that their variance depends on the level of one or ...
• 76
498 views

Breusch Pagan and White test always 0

I'm working on a machine learning algorithm and trying to evaluate the model based on a guide online. No matter how I change the features of the model, the results of both tests are always 0. Is there ...
1 vote
62 views

Dealing with Heteroskedasticity in Estimated Dependent Variable model

I work on my research in finance concerning pricing of green bonds and I am running a two stage model. Stage 1 regression is an unbalanced panel fixed effects estimation. For each of my 100 green ...
497 views

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, ...
• 693
1 vote
741 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 ...
• 237
610 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 ...
• 3,326
2k 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" ...
• 1,010