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day9prlm - 3/26/12 PADP 8130: Linear Models Nonspherical...

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3/26/12 1 PADP 8130: Linear Models Nonspherical Disturbances PRACTICE Angela Fer±g, Ph.D. Let’s start with heteroskedas±city
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3/26/12 2 Let’s examine the efect oF Family income on home equity . reg lnhomequity agehd age2 hsdropout somecoll collgrad black hisp marriedhd tanf femalehd lnfaminc Source | SS df MS Number of obs = 4009 -------------+------------------------------ F( 11, 3997) = 142.94 Model | 1704.33772 11 154.939793 Prob > F = 0.0000 Residual | 4332.60263 3997 1.08396363 R-squared = 0.2823 -------------+------------------------------ Adj R-squared = 0.2803 Total | 6036.94035 4008 1.50622264 Root MSE = 1.0411 ------------------------------------------------------------------------------ lnhomequity | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- agehd | .0699464 .0065772 10.63 0.000 .0570514 .0828413 age2 | -.0003213 .0000611 -5.25 0.000 -.0004411 -.0002014 hsdropout | -.0848693 .0554843 -1.53 0.126 -.1936495 .0239109 somecoll | .1482417 .0443004 3.35 0.001 .0613883 .2350952 collgrad | .3585647 .0442015 8.11 0.000 .2719051 .4452243 black | -.3551067 .0418452 -8.49 0.000 -.4371466 -.2730669 hisp | .0564052 .0710163 0.79 0.427 -.0828263 .1956367 marriedhd | .112403 .0522802 2.15 0.032 .0099047 .2149013 tanf | -.0164527 .2476122 -0.07 0.947 -.5019106 .4690053 femalehd | .0201877 .0597517 0.34 0.735 -.096959 .1373344 lnfaminc | .291015 .0256581 11.34 0.000 .2407108 .3413191 _cons | 5.04988 .302371 16.70 0.000 4.457064 5.642696 ------------------------------------------------------------------------------ -6 -4 -2 0 2 4 Residuals 0 100000 200000 300000 400000 Total family income in 2008 Graph the residuals. Residuals have ‘low’ variation Residuals have ‘high’ variation . predict r, resid . scatter r faminc
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3/26/12 3 Glejser Test . gen r2=r*r . reg r2 lnfaminc Source | SS df MS Number of obs = 4009 -------------+------------------------------ F( 1, 4007) = 39.10 Model | 161.441404 1 161.441404 Prob > F = 0.0000 Residual | 16544.9125 4007 4.12900237 R-squared = 0.0097 -------------+------------------------------ Adj R-squared = 0.0094 Total | 16706.3539 4008 4.16825197 Root MSE = 2.032 ------------------------------------------------------------------------------ r2 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnfaminc | -.2473728 .039561 -6.25 0.000 -.3249343 -.1698113 _cons | 3.819245 .4391317 8.70 0.000 2.958302 4.680187 ------------------------------------------------------------------------------ Glejser test is signifcant so we do have heteroskedas:city. Breusch-Pagan test . reg lnhomequity agehd age2 hsdropout somecoll collgrad black hisp marriedhd tanf femalehd lnfaminc . estat hettest lnfaminc femalehd Breusch-Pagan / Cook-Weisberg test for heteroskedasticity Ho: Constant variance Variables: lnfaminc femalehd chi2(2) = 70.87 Prob > chi2 = 0.0000 Reject null± there is heteroskedas:city
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day9prlm - 3/26/12 PADP 8130: Linear Models Nonspherical...

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