statsmodels.stats.diagnostic.het_white¶
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statsmodels.stats.diagnostic.het_white(resid, exog, retres=False)[source]¶ White’s Lagrange Multiplier Test for Heteroscedasticity
- Parameters
- residarray_like
residuals, square of it is used as endogenous variable
- exogarray_like
possible explanatory variables for variance, squares and interaction terms are included in the auxilliary regression.
- resstoreinstance (optional)
a class instance that holds intermediate results. Only returned if store=True
- Returns
- lmfloat
lagrange multiplier statistic
- lm_pvalue :float
p-value of lagrange multiplier test
- fvaluefloat
f-statistic of the hypothesis that the error variance does not depend on x. This is an alternative test variant not the original LM test.
- f_pvaluefloat
p-value for the f-statistic
Notes
assumes x contains constant (for counting dof)
question: does f-statistic make sense? constant ?
References
Greene section 11.4.1 5th edition p. 222 now test statistic reproduces Greene 5th, example 11.3