public abstract class Heteroskedasticity extends HypothesisTest
| Modifier and Type | Field and Description |
|---|---|
protected int |
N
the number of observations
|
protected LMResiduals |
residuals |
| Constructor and Description |
|---|
Heteroskedasticity(LMResiduals residuals)
Construct a heteroskedasticity test.
|
| Modifier and Type | Method and Description |
|---|---|
String |
getAlternativeHypothesis()
Get the description of the alternative hypothesis.
|
protected OLSRegression |
getAuxiliaryOLSRegression(Vector y,
LMResiduals residuals)
Get the auxiliary regression.
|
protected abstract OLSRegression |
getAuxiliaryRegression()
Define the transformation of residuals.
|
String |
getNullHypothesis()
Get a description of the null hypothesis.
|
protected ChiSquareDistribution |
getX2()
Get the Chi-squared distribution.
|
double |
pValue()
Get the p-value for the test statistics.
|
double |
statistics()
Get the test statistics.
|
isNullRejected, nGroups, nObs, oneSidedPvalueprotected final int N
protected final LMResiduals residuals
public Heteroskedasticity(LMResiduals residuals)
residuals - the residuals from a linear regression resultprotected abstract OLSRegression getAuxiliaryRegression()
public String getNullHypothesis()
HypothesisTestgetNullHypothesis in class HypothesisTestpublic String getAlternativeHypothesis()
HypothesisTestgetAlternativeHypothesis in class HypothesisTestpublic double statistics()
HypothesisTeststatistics in class HypothesisTestpublic double pValue()
HypothesisTestpValue in class HypothesisTestprotected ChiSquareDistribution getX2()
protected OLSRegression getAuxiliaryOLSRegression(Vector y, LMResiduals residuals)
y - the observationsresiduals - the residuals from a linear regression resultCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.