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
1
vote
0
answers
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
1
vote
0
answers
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 ...
0
votes
0
answers
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 ...
- 129
0
votes
0
answers
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?
- 1
0
votes
0
answers
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
0
votes
0
answers
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