How do you check heteroskedasticity in eviews?

How do you check heteroskedasticity in eviews?

To test for this form of heteroskedasticity, an auxiliary regression of the log of the original equation’s squared residuals on is performed. The LM statistic is then the explained sum of squares from the auxiliary regression divided by , the derivative of the log gamma function evaluated at 0.5.

What is the White test for heteroskedasticity?

In statistics, the White test is a statistical test that establishes whether the variance of the errors in a regression model is constant: that is for homoskedasticity. This test, and an estimator for heteroscedasticity-consistent standard errors, were proposed by Halbert White in 1980.

How do you fix heteroskedasticity?

How to Fix Heteroscedasticity

1. Transform the dependent variable. One way to fix heteroscedasticity is to transform the dependent variable in some way.
2. Redefine the dependent variable. Another way to fix heteroscedasticity is to redefine the dependent variable.
3. Use weighted regression.

How the White’s heteroscedasticity test is used to detect heteroscedasticity?

White’s test is used to test for heteroscedastic (“differently dispersed”) errors in regression analysis. A graph showing heteroscedasticity; the White test is used to identify heteroscedastic errors in regression analysis. The null hypothesis for White’s test is that the variances for the errors are equal.

How do you test for heteroskedasticity in panel data?

You can use a residual plot with the estimated residuals on the y-axis, and the predicted y values (or for simple regression through the origin, just x) on the x-axis (which is a size measure for the respondents). You can then see if there is a pattern which flairs, which would indicate heteroscedasticity.

How do you test for heteroskedasticity in regression?

One informal way of detecting heteroskedasticity is by creating a residual plot where you plot the least squares residuals against the explanatory variable or ˆy if it’s a multiple regression. If there is an evident pattern in the plot, then heteroskedasticity is present.

How do you test for heteroskedasticity in a white test?

Follow these five steps to perform a White test:

1. Estimate your model using OLS:
2. Obtain the predicted Y values after estimating your model.
3. Estimate the model using OLS:
4. Retain the R-squared value from this regression:
5. Calculate the F-statistic or the chi-squared statistic:

How do you do an arch LM test in EViews?

To test whether there any remaining ARCH effects in the residuals, select View/Residual Diagnostics/ARCH LM Test… and specify the order to test. EViews will open the general Heteroskedasticity Tests dialog opened to the ARCH page. Enter “7” in the dialog for the number of lags and click on OK.