public class White extends Heteroskedasticity
N, residuals| Constructor and Description |
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White(LMResiduals residuals)
Perform the White test to test for heteroskedasticity in a linear regression model.
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| Modifier and Type | Method and Description |
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protected OLSRegression |
getAuxiliaryOLSRegression(Vector y,
LMResiduals residuals)
Get the auxiliary regression.
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protected OLSRegression |
getAuxiliaryRegression()
Define the transformation of residuals.
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protected ChiSquareDistribution |
getX2()
Get the Chi-squared distribution.
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double |
statistics()
Get the test statistics.
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getAlternativeHypothesis, getNullHypothesis, pValueisNullRejected, nGroups, nObs, oneSidedPvaluepublic White(LMResiduals residuals)
residuals - the Residuals object from an OLS regressionpublic double statistics()
HypothesisTeststatistics in class Heteroskedasticityprotected ChiSquareDistribution getX2()
HeteroskedasticitygetX2 in class Heteroskedasticityprotected OLSRegression getAuxiliaryRegression()
HeteroskedasticitygetAuxiliaryRegression in class Heteroskedasticityprotected OLSRegression getAuxiliaryOLSRegression(Vector y, LMResiduals residuals)
HeteroskedasticitygetAuxiliaryOLSRegression in class Heteroskedasticityy - the observationsresiduals - the residuals from a linear regression resultCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.