com.numericalmethod.suanshu.stats.test.regression.linear.heteroskedasticity
Class Glejser

java.lang.Object
  com.numericalmethod.suanshu.stats.test.HypothesisTest
      com.numericalmethod.suanshu.stats.test.regression.linear.heteroskedasticity.Heteroskedasticity
          com.numericalmethod.suanshu.stats.test.regression.linear.heteroskedasticity.Glejser

public class Glejser
extends Heteroskedasticity

The Glejser test tests for conditional heteroskedasticity. The test statistics is computed by regressing absolute residuals from the original regression against the original regressors (plus intercept). The test is a chi-squared test: the test statistic distribution is nχ² with k degrees of freedom.

Field Summary

Fields inherited from class com.numericalmethod.suanshu.stats.test.regression.linear.heteroskedasticity.Heteroskedasticity

N, residuals

Constructor Summary

Glejser(Residuals residuals)
Perform the Glejser test to test for heteroskedasticity in a linear regression model.

Method Summary

OLSRegression

getAuxiliaryRegression() Define the transformation of residuals.

Methods inherited from class com.numericalmethod.suanshu.stats.test.regression.linear.heteroskedasticity.Heteroskedasticity

getAlternativeHypothesis, getAuxiliaryOLSRegression, getNullHypothesis, getX2, pValue, statistics

Methods inherited from class com.numericalmethod.suanshu.stats.test.HypothesisTest

isNullRejected, nGroups, nObs, oneSidedPvalue

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

Glejser

public Glejser(Residuals residuals)

Perform the Glejser test to test for heteroskedasticity in a linear regression model.

Parameters:

residuals - the Residuals object from an OLS regression

Method Detail

getAuxiliaryRegression

public OLSRegression getAuxiliaryRegression()

Description copied from class: Heteroskedasticity

Define the transformation of residuals.

Specified by:

getAuxiliaryRegression in class Heteroskedasticity

Returns:

an auxiliary regression