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Thread: Interpreting White test for heteroskedasticity

  1. #1
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    Interpreting White test for heteroskedasticity


    i am using Gretl software and run a OLS regression on a set of panel data. I am trying to find out if there is hetereskedasticity in the model, but I do not know how to interpret the outcome of White test.

    It says:

    Null hypothesis: heteroskedasticity not present
    Test statistic: LM = 40.5477
    with p-value = P(Chi-square (21) > 40.5477) = 0.00637482

    How can I tell from this information if there is heteroskedasticity present?

    Thank you very much.

  2. #2
    Fortran must die
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    Re: Interpreting White test for heteroskedasticity

    I assume you use the normal rules for rejecting the null which is if p is below alpha you reject the null. .006 is below any alpha I have ever seen used so you would reject the null. Since the null is that heteroskedasticity is not present you accept the alternative that it is present.
    "Very few theories have been abandoned because they were found to be invalid on the basis of empirical evidence...." Spanos, 1995

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