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# C7D4 - WHITE TEST FOR HETEROSCEDASTICITY reg MANU GDP...

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WHITE TEST FOR HETEROSCEDASTICITY 1 The White test for heteroscedasticity looks for evidence of an association between the variance of the disturbance term and the regressors without assuming any specific relationship. . reg MANU GDP Source | SS df MS Number of obs = 28 -------------+------------------------------ F( 1, 26) = 210.73 Model | 1.1600e+11 1 1.1600e+11 Prob > F = 0.0000 Residual | 1.4312e+10 26 550462775 R-squared = 0.8902 -------------+------------------------------ Adj R-squared = 0.8859 Total | 1.3031e+11 27 4.8264e+09 Root MSE = 23462 ------------------------------------------------------------------------------ MANU | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- GDP | .193693 .0133428 14.52 0.000 .1662665 .2211195 _cons | 603.9453 5699.677 0.11 0.916 -11111.91 12319.8 ------------------------------------------------------------------------------

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WHITE TEST FOR HETEROSCEDASTICITY 2 Since the variance of the disturbance term in observation i is unobservable, the squared residual for that observation is used as a proxy. . reg MANU GDP Source | SS df MS Number of obs = 28 -------------+------------------------------ F( 1, 26) = 210.73 Model | 1.1600e+11 1 1.1600e+11 Prob > F = 0.0000 Residual | 1.4312e+10 26 550462775 R-squared = 0.8902 -------------+------------------------------ Adj R-squared = 0.8859 Total | 1.3031e+11 27 4.8264e+09 Root MSE = 23462 ------------------------------------------------------------------------------ MANU | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- GDP | .193693 .0133428 14.52 0.000 .1662665 .2211195 _cons | 603.9453 5699.677 0.11 0.916 -11111.91 12319.8 ------------------------------------------------------------------------------
WHITE TEST FOR HETEROSCEDASTICITY 3 We will perform the test using the manufacturing and GDP data used to illustrate the Goldfeld–Quandt test. We have regressed MANU on GDP and have saved the residuals as EMANU . We define EMANUSQ to be the squared residual.

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