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, pValue
isNullRejected, nGroups, nObs, oneSidedPvalue
public White(LMResiduals residuals)
residuals
- the Residuals
object from an OLS regressionpublic double statistics()
HypothesisTest
statistics
in class Heteroskedasticity
protected ChiSquareDistribution getX2()
Heteroskedasticity
getX2
in class Heteroskedasticity
protected OLSRegression getAuxiliaryRegression()
Heteroskedasticity
getAuxiliaryRegression
in class Heteroskedasticity
protected OLSRegression getAuxiliaryOLSRegression(Vector y, LMResiduals residuals)
Heteroskedasticity
getAuxiliaryOLSRegression
in class Heteroskedasticity
y
- the observationsresiduals
- the residuals from a linear regression resultCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.