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Unformatted text preview: f Xi .
Above is an important point as the test exploits exactly that assumption’s
implications.
H0 : Homoscedasticity (σui =σu )
H1 : Heteroscedasticity (σui is proportional to size of Xi ) Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Detection GoldfeldQuandt Test This test assumes that σui is proportional to size of Xi .
Above is an important point as the test exploits exactly that assumption’s
implications.
H0 : Homoscedasticity (σui =σu )
H1 : Heteroscedasticity (σui is proportional to size of Xi )
Relationship is between s.d. of disturbance term σui and Xi Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Detection GoldfeldQuandt Test This test assumes that σui is proportional to size of Xi .
Above is an important point as the test exploits exactly that assumption’s
implications.
H0 : Homoscedasticity (σui =σu )
H1 : Heteroscedasticity (σui is proportional to size of Xi )
Relationship is between s.d. of disturbance term σui and Xi
Mechanics:
1 Order n observations by magnitude of Xi Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Detection GoldfeldQuandt Test This test assumes that σui is proportional to size of Xi .
Above is an important point as the test exploits exactly that assumption’s
implications.
H0 : Homoscedasticity (σui =σu )
H1 : Heteroscedasticity (σui is proportional to size of Xi )
Relationship is between s.d. of disturbance term σui and Xi
Mechanics:
1 Order n observations by magnitude of Xi 2 Run separate regression ﬁrst n and last n obs. to get RSS1 and RSS2 Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Detection GoldfeldQuandt Test This test assumes that σui is proportional to size of Xi .
Above is an important point as the test exploits exactly that assumption’s
implications.
H0 : Homoscedasticity (σui =σu )
H1 : Heteroscedasticity (σui is proportional to size of Xi )
Relationship is between s.d. of disturbance term σui and Xi
Mechanics:
1 Order n observations by magnitude of Xi 2 Run separate regression ﬁrst n and last n obs. to get RSS1 and RSS2 3 Recommended optimal choice of n to be 3
8 of total sample size n. Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Detection GoldfeldQuandt Test This test assumes that σui is proportional to size of Xi .
Above is an important point as the test exploits exactly that assumption’s
implications.
H0 : Homoscedasticity (σui =σu )
H1 : Heteroscedasticity (σui is proportional to size of Xi )
Relationship is between s.d. of disturbance term σui and Xi
Mechanics:
1 Order n observations by magnitude of Xi 2 Run separate regression ﬁrst n and last n obs. to get RSS1 and RSS2 3 Recommended optimal choice of n to be 4 Under H0 , RSS2
RSS1 ∼ Fn −k ,n −k . 3
8 of total sample size n. Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Detection GoldfeldQuandt Test This test assumes that...
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 Spring '13
 ChristopherDougherty
 Econometrics

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