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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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 ...
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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?
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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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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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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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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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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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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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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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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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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
...
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