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.

6 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
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 ...
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 ...
226 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?
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 ...