Lecture13

# Lecture13 - Lecture 13 Heteroskedasticity Econ 444 Winter...

This preview shows pages 1–5. Sign up to view the full content.

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document

This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Lecture 13: Heteroskedasticity Econ 444, Winter 2010 March 1, 2010 3 White’s test : Consider following regression equation, Y i = β + β 1 X 1 i + β 2 X 2 i + i (1) Suppose we suspect that the error term in the above equation is heteroskedastic. White’s test can be used to test whether there is heteroskedasticity. Steps involved in White’s test : Step 1 : Estimate the original regression equation (1) using OLS and save the residuals, e i . Step 2: Use e 2 i as the dependent variable and estimate the following equation which includes as independent variables each X from the original equation, the square of each X and the product of each X with every other X in the equation. In our example, we estimate : e 2 i = α + α 1 X 1 i + α 2 X 2 i + α 3 X 2 1 i + α 4 X 2 2 i + α 5 X 1 i X 2 i + ν i (2) Step 3: Obtain the White’s test statistic : White s Statistic = N × R 2 (3) Under certain assumptions above statistic has a χ 2 distribution with J degrees of freedom ( J is the number of...
View Full Document

## This note was uploaded on 04/13/2010 for the course ECON 444 taught by Professor Ogaki during the Winter '07 term at Ohio State.

### Page1 / 19

Lecture13 - Lecture 13 Heteroskedasticity Econ 444 Winter...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online