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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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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 ...
nluckn's user avatar
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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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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 ...
balzy's user avatar
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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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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 ...
Felix's user avatar
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