For systems of equations, these tests are computed separately for the residuals of each equation. The Breusch-Pagan test is used to determine whether or not heteroscedasticity is present in a regression model. The WHITE option tests the null hypothesis The residuals of an estimation are used to investigate the heteroscedasticity of the true disturbances. White’s test is general because it makes no assumptions about the form of the heteroscedasticity (White 1980). Because of its generality, White’s test might identify specification errors other than heteroscedasticity (Thursby 1982). Thus, White’s test might be significant when the errors are homoscedastic but the model is misspecified in other ways. White’s test statistic is computed as follows: White’s test is equivalent to obtaining the error sum of squares for the regression of squared residuals on a constant and all the unique variables in, where the matrix J is composed of the partial derivatives of the equation residual with respect to the estimated parameters. XLSTAT is a powerful yet flexible Excel data analysis add-on that allows 150,000+ users in over 120 countries across the world to analyze, customize, and share results within Microsoft Excel. Where is the correlation coefficient obtained from the above regression. The leading data analysis and statistical solution for microsoft excel. The statistic is asymptotically distributed as chi-squared with P–1 degrees of freedom, where P is the number of regressors in the regression, including the constant and n is the total number of observations. Explore, visualize and model your data in one interface. Esta versión es equivalente a XLSTAT-Premium e incluye las opciones 3D Plot y LatentClass. In the example given below, the regressors are constant, income, income*income, income*income*income, and income*income*income*income. income*income occurs twice and one is dropped.
Hence, P=5 with degrees of freedom, P–1=4. Note that White’s test in the MODEL procedure is different than White’s test in the REG procedure requested by the SPEC option. The SPEC option produces the test from Theorem 2 on page 823 of White (1980). The WHITE option, on the other hand, produces the statistic discussed in Greene (1993). The null hypothesis for the modified Breusch-Pagan test is homosedasticity. The alternate hypothesis is that the error variance varies with a set of regressors, which are listed in the BREUSCH= option.ĭefine the matrix to be composed of the values of the variables listed in the BREUSCH= option, such that is the value of the jth variable in the BREUSCH= option for the ith observation.
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