Class Glejser
- java.lang.Object
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- dev.nm.stat.test.HypothesisTest
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- dev.nm.stat.test.regression.linear.heteroskedasticity.Heteroskedasticity
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- dev.nm.stat.test.regression.linear.heteroskedasticity.Glejser
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public class Glejser extends Heteroskedasticity
The Glejser test tests for conditional heteroskedasticity. The test statistics is computed by regressing absolute residuals from the original regression against the original regressors (plus intercept). The test is a chi-squared test: the test statistic distribution is nχ2 with k degrees of freedom.
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Field Summary
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Fields inherited from class dev.nm.stat.test.regression.linear.heteroskedasticity.Heteroskedasticity
N, residuals
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Constructor Summary
Constructors Constructor Description Glejser(LMResiduals residuals)
Perform the Glejser test to test for heteroskedasticity in a linear regression model.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description OLSRegression
getAuxiliaryRegression()
Define the transformation of residuals.-
Methods inherited from class dev.nm.stat.test.regression.linear.heteroskedasticity.Heteroskedasticity
getAlternativeHypothesis, getAuxiliaryOLSRegression, getNullHypothesis, getX2, pValue, statistics
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Methods inherited from class dev.nm.stat.test.HypothesisTest
isNullRejected, nGroups, nObs, oneSidedPvalue
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Constructor Detail
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Glejser
public Glejser(LMResiduals residuals)
Perform the Glejser test to test for heteroskedasticity in a linear regression model.- Parameters:
residuals
- theResiduals
object from an OLS regression
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Method Detail
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getAuxiliaryRegression
public OLSRegression getAuxiliaryRegression()
Description copied from class:Heteroskedasticity
Define the transformation of residuals.- Specified by:
getAuxiliaryRegression
in classHeteroskedasticity
- Returns:
- an auxiliary regression
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