Class Heteroskedasticity

  • Direct Known Subclasses:
    BreuschPagan, Glejser, HarveyGodfrey, White

    public abstract class Heteroskedasticity
    extends HypothesisTest
    A heteroskedasticity test tests, for a linear regression model, whether the estimated variance of the residuals from a regression is dependent on the values of the independent variables (regressors). The test statistic is computed by regressing the transformed residuals from the original regression against the original regressors (plus intercept). Different implementations of heteroskedasticity tests have different ways to do the transformation. The test distribution is a Chi-squared distribution.
    • Field Detail

      • N

        protected final int N
        the number of observations
    • Constructor Detail

      • Heteroskedasticity

        public Heteroskedasticity​(LMResiduals residuals)
        Construct a heteroskedasticity test.
        Parameters:
        residuals - the residuals from a linear regression result