public abstract class Heteroskedasticity extends HypothesisTest
Modifier and Type | Field and Description |
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protected int |
N
the number of observations
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protected LMResiduals |
residuals |
Constructor and Description |
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Heteroskedasticity(LMResiduals residuals)
Construct a heteroskedasticity test.
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Modifier and Type | Method and Description |
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String |
getAlternativeHypothesis()
Get the description of the alternative hypothesis.
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protected OLSRegression |
getAuxiliaryOLSRegression(Vector y,
LMResiduals residuals)
Get the auxiliary regression.
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protected abstract OLSRegression |
getAuxiliaryRegression()
Define the transformation of residuals.
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String |
getNullHypothesis()
Get a description of the null hypothesis.
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protected ChiSquareDistribution |
getX2()
Get the Chi-squared distribution.
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double |
pValue()
Get the p-value for the test statistics.
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double |
statistics()
Get the test statistics.
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isNullRejected, nGroups, nObs, oneSidedPvalue
protected 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()
HypothesisTest
getNullHypothesis
in class HypothesisTest
public String getAlternativeHypothesis()
HypothesisTest
getAlternativeHypothesis
in class HypothesisTest
public double statistics()
HypothesisTest
statistics
in class HypothesisTest
public double pValue()
HypothesisTest
pValue
in class HypothesisTest
protected 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.