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# 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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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 ...
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 ...
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 ...
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 ...
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 ...
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, ...
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 ...
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 ...