SuanShu, a Java numerical and statistical library



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

java.lang.Object
  extended by com.numericalmethod.suanshu.stats.test.HypothesisTest
      extended by com.numericalmethod.suanshu.stats.test.regression.linear.heteroskedasticity.Heteroskedasticity
          extended by 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(LMResiduals 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(LMResiduals 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


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