Class HarveyGodfrey


  • public class HarveyGodfrey
    extends Heteroskedasticity
    The Harvey-Godfrey test tests for conditional heteroskedasticity. The test statistics is computed by regressing log of squared 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.
    • Constructor Detail

      • HarveyGodfrey

        public HarveyGodfrey​(LMResiduals residuals)
        Perform the Harvey-Godfrey test to test for heteroskedasticity in a linear regression model.
        Parameters:
        residuals - the Residuals object from an OLS regression