white's test是什么?金融作业中遇到的词.
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white's test是什么?金融作业中遇到的词.
In statistics,the White test is a statistical test that establishes whether the residual variance of a variable in a regression model is constant (homoscedasticity).To test for constant variance one regresses the squared residuals from a regression model onto the regressors,the cross-products of the regressors and the squared regressors.One then inspects the R2.If homoscedasticity is rejected one can use a GARCH model.
This test,and an estimator for heteroscedasticity-consistent standard errors,were proposed by Halbert White in 1980.These methods have become extremely widely used,making this paper one of the most cited articles in economics
This test,and an estimator for heteroscedasticity-consistent standard errors,were proposed by Halbert White in 1980.These methods have become extremely widely used,making this paper one of the most cited articles in economics