White Test (gebundenes Buch)
Umfang: 88 S.
Format (T/L/B): 4.5 x 24.7 x 16.5 cm
Einband: gebundenes Buch
Erschienen am 20.08.2007
High Quality Content by WIKIPEDIA articles! In statistics, the White test, named after Halbert White, is a test that establishes whether the residual variance of a variable in a regression model is constant (homoscedasticity). To test for constant variance one regresses the squared residuals from a regression model onto the regressors, the cross-products of the regressors and the squared regressors. One then inspects the R2. If homoskedasticity is rejected one can use a GARCH model. An interesting fact is that the paper that published White''s test, "A Heteroskedasticity¿Consistent Covariance Matrix Estimator and a Direct Test for Hetereoskedasticity" (1980) is one of the most cited articles in Economics journals