C7D4 - WHITE TEST FOR HETEROSCEDASTICITY 1 The White test...

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Unformatted text preview: 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------------------------------------------------------------------------------ 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 GoldfeldQuandt test. We have regressed MANU on GDP and have saved the residuals as EMANU . We define EMANUSQ to be the squared residual. . 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 =...
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This note was uploaded on 05/26/2010 for the course ECON 301 taught by Professor Öcal during the Spring '10 term at Middle East Technical University.

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C7D4 - WHITE TEST FOR HETEROSCEDASTICITY 1 The White test...

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