Class White


  • public class White
    extends Heteroskedasticity
    The White test tests for conditional heteroskedasticity. It is a chi-squared test: the test statistic is nχ2 with k degrees of freedom. If the White test shows that there is conditional heteroskedasticity, we can consider a GARCH model.
    See Also:
    • H. White, "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica 48 (4): 817-838, MR575027 JSTOR 1912934, 1980.
    • R. Koenker, "A Note on Studentizing a Test for Heteroskedasticity," Journal of Econometrics 17, 107-112, 1981.
    • Wikipedia: White test