6.8.3.2.12. statsmodels.sandbox.stats.diagnostic.het_white¶

statsmodels.sandbox.stats.diagnostic.het_white(resid, exog, retres=False)[source]¶

White’s Lagrange Multiplier Test for Heteroscedasticity

Parameters:

resid : array_like

residuals, square of it is used as endogenous variable

exog : array_like

possible explanatory variables for variance, squares and interaction terms are included in the auxilliary regression.

resstore : instance (optional)

a class instance that holds intermediate results. Only returned if store=True

Returns:

lm : float

lagrange multiplier statistic

lm_pvalue :float

p-value of lagrange multiplier test

fvalue : float

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_pvalue : float

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