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

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.HarveyGodfrey

public class HarveyGodfrey
extends Heteroskedasticity

The Harvey-Godfrey test tests for conditional heteroskedasticity. The test statistics is computed by regressing log of squared 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

HarveyGodfrey(Residuals residuals)
Perform the Harvey-Godfrey 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

HarveyGodfrey

public HarveyGodfrey(Residuals residuals)

Perform the Harvey-Godfrey 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