Heteroskedasticity test

White, White special case and Breush-Pagan tests. Stat TB needed: regstats and chi2cdf.
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Actualizado 15 Aug 2009

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TESTHET Tests wether heteroskedasticity affects data. Need 'regstats' and 'chi2cdf' (Stat TB).

PVAL = TESTHET(RES, X, WHICHTEST, YHAT)
INPUTS:
- Res: residuals obtained by regressing Y on x1, x2 etc...(1) It can be a numeric 'n-by-1' vector or a 'n-by-p' matrix with 'p' residuals obtained from different regressions. The # of obs. is 'n'.
- X: predictors suspected of causing heteroskedasticity. Not necessarily all those in (1). Same format as Res.
- Whichtest: test chosen in format string.
a. Breush-Pagan, Koenker mod. --> -BPK
b. White --> -W
c. White, Wooldridge --> -Ws
[OPTIONAL]
- Yhat: only for '-Ws' test. Fitted values from (1). Same format as Res.

OUTPUT:
A '1-by-p' array with p-values.

EXAMPLE:
1. Regress Y on x1, x2:
--> regstats(Y, [x1 x2], 'linear', {'r','yhat'})
2. Test with -Ws:
--> TestHet(r,[x1, x2], '-Ws', yhat)

For general econometric reference:
[1] Greene, W.H. (2003 - 5th ed.) Econometric Analysis. Prentice Hall.
[2] Wooldridge, J.M. (2006 - 3rd ed.). Introductory Econometrics: A Modern Approach. Thomson - South West.
[3] Kennedy, P. (2008 - 6th ed.). A Guide to Econometrics. Blackwell Publishing.

Any comments, suggestions and critics are truly welcome.
Plz let me know if you prefer a function which doesn't use the stats toolbox.

p2v1.21

Citar como

Oleg Komarov (2024). Heteroskedasticity test (https://www.mathworks.com/matlabcentral/fileexchange/24722-heteroskedasticity-test), MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2008b
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Versión Publicado Notas de la versión
1.6.0.0

Error on line 80: Nseries = size(Res,2)-1 --> Nseries = size(Res,2).
Pointed out by Dan Iancu.

1.5.0.0

Added check on solvability of the system.

1.1.0.0

DemoDataset.mat was missing in the package. Added.

1.0.0.0