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Unformatted text preview: Model B Detection White Test
This test is much more general.
It looks for evidence of an association between variance of disturbance term
and regressors.
H0 : Homoscedasticity (σui =σu )
H1 : Heteroscedasticity (σui changes with X’s)
Mechanics:
1 Run OLS and save residuals. 2 Regress squared residual on explanatory variables, their squares and
crossproducts → get R 2 from this second regression. Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Detection White Test
This test is much more general.
It looks for evidence of an association between variance of disturbance term
and regressors.
H0 : Homoscedasticity (σui =σu )
H1 : Heteroscedasticity (σui changes with X’s)
Mechanics:
1 Run OLS and save residuals. 2 Regress squared residual on explanatory variables, their squares and
crossproducts → get R 2 from this second regression. 3 Under H0 , nR 2 ∼ χ2k −1) where k is the number of parameters estimated
(
in above step 2 regression. Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Detection White Test
This test is much more general.
It looks for evidence of an association between variance of disturbance term
and regressors.
H0 : Homoscedasticity (σui =σu )
H1 : Heteroscedasticity (σui changes with X’s)
Mechanics:
1 Run OLS and save residuals. 2 Regress squared residual on explanatory variables, their squares and
crossproducts → get R 2 from this second regression. 3 4 Under H0 , nR 2 ∼ χ2k −1) where k is the number of parameters estimated
(
in above step 2 regression.
Intuition for White Test: Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Detection White Test
This test is much more general.
It looks for evidence of an association between variance of disturbance term
and regressors.
H0 : Homoscedasticity (σui =σu )
H1 : Heteroscedasticity (σui changes with X’s)
Mechanics:
1 Run OLS and save residuals. 2 Regress squared residual on explanatory variables, their squares and
crossproducts → get R 2 from this second regression. 3 4 Under H0 , nR 2 ∼ χ2k −1) where k is the number of parameters estimated
(
in above step 2 regression.
Intuition for White Test:
Squared residual proxies for disturbance variance. Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Detection White Test
This test is much more general.
It looks for evidence of an association between variance of disturbance term
and regressors.
H0 : Homoscedasticity (σui =σu )
H1 : Heteroscedasticity (σui changes with X’s)
Mechanics:
1 Run OLS and save residuals. 2 Regress squared residual on explanatory variables, their squares and
crossproducts → get R 2 from this second regression. 3 4 Under H0 , nR 2 ∼ χ2k −1) where k is the number of parameters estimated
(
in above step 2 regression.
Intuition for White Test:
Squared residual proxies for disturbance variance.
2
If σui related to regressors, R 2 will tend to be large. Introduction Heteroscedasticity Past Exam Practice Question Moving Forward: Model B Detection White Test
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This document was uploaded on 03/12/2014 for the course ECON 202 at University of London University of London International Programmes (Distance Learning).
 Spring '13
 ChristopherDougherty
 Econometrics

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