{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

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

Info icon This preview shows pages 1–4. Sign up to view the full content.

View Full Document Right Arrow Icon
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 ------------------------------------------------------------------------------
Image of page 1

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

View Full Document Right Arrow Icon
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 ------------------------------------------------------------------------------
Image of page 2
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.
Image of page 3

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

View Full Document Right Arrow Icon
Image of page 4
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern