Search results
Results from the WOW.Com Content Network
In SAS, the GODFREY option of the MODEL statement in PROC AUTOREG provides a version of this test. In Python Statsmodels, the acorr_breusch_godfrey function in the module statsmodels.stats.diagnostic [9] In EViews, this test is already done after a regression, at "View" → "Residual Diagnostics" → "Serial Correlation LM Test".
Breusch–Godfrey test; ... Sargan test; SAS (software) SAS language; SAS System ... Student's t-test for Gaussian scale mixture distributions ...
In statistics, the Breusch–Pagan test, developed in 1979 by Trevor Breusch and Adrian Pagan, [1] is used to test for heteroskedasticity in a linear regression model. It was independently suggested with some extension by R. Dennis Cook and Sanford Weisberg in 1983 ( Cook–Weisberg test ). [ 2 ]
SAS: Is a standard output when using proc model and is an option (dw) ... (ARCH), a test for time-dependent volatility, the Breusch–Godfrey test, and Durbin's ...
Leslie George Godfrey (born 1946) is a British econometrician. The Breusch–Godfrey test is named after him and Trevor S. Breusch . [ 1 ] He is an emeritus professor of econometrics at the University of York .
Herbert Glejser, in his 1969 paper outlining the Glejser test, provides a small sampling experiment to test the power and sensitivity of the Goldfeld–Quandt test. His results show limited success for the Goldfeld–Quandt test except under cases of "pure heteroskedasticity"—where variance can be described as a function of only the underlying explanatory variable.
AOL latest headlines, entertainment, sports, articles for business, health and world news.
White test is a statistical test that establishes whether the variance of the errors in a regression model is constant: that is for homoskedasticity. This test, and an estimator for heteroscedasticity-consistent standard errors , were proposed by Halbert White in 1980. [ 1 ]