statsmodels.stats.diagnostic.het_white¶
-
statsmodels.stats.diagnostic.
het_white
(resid, exog)[source]¶ White’s Lagrange Multiplier Test for Heteroscedasticity.
- Parameters
- residarray_like
The residuals. The squared residuals are used as the endogenous variable.
- exogarray_like
The explanatory variables for the variance. Squares and interaction terms are automatically included in the auxiliary regression.
- Returns
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. Test statistic reproduces Greene 5th, example 11.3.