wh.test: White Heteroskedasticity Test

In desk: Didactic Econometrics Starter Kit

White Heteroskedasticity Test

Description

White's test for heteroskedastic errors.

Usage

wh.test(mod, data = list(), sig.level = 0.05, details = FALSE, hyp = TRUE)

Arguments

mod	estimated linear model object or formula.
data	if mod is a formula then the corresponding data frame has to be specified.
sig.level	significance level. Default value: sig.level = 0.05.
details	logical value indicating whether specific details about the test should be returned.
hyp	logical value indicating whether the hypotheses should be returned.

Value

A list object including:

hyp	character matrix of hypotheses (if hyp = TRUE).
results	a data frame of basic test results.
hreg	matrix of aux. regression results.
stats	additional statistic of aux. regression.
nulldist	type of the null distribution with its parameters.

References

White, H. (1980): A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica 48, 817-838.

See Also

bptest.

Examples

## White test for a model with two regressors
X <- wh.test(wage ~ educ + age, data = data.wage)

## Show the auxiliary regression results
X$hreg

## Prettier way
print(X, details = TRUE)

## Plot the test result
plot(X)

desk documentation built on May 29, 2024, 6:05 a.m.