ssHeteroskedasticityTest#
Purpose#
Tests the null hypothesis of no heteroskedasticity by comparing the sum-of-squares of the first third of the sample to the sum-of-squares of last third of the sample. Analogous to a Goldfeld-Quandt test.
Format#
- { test_statistic, p_value } = ssHeteroskedasticityTest(resid[, alternative])#
- Parameters:
resid (Vector) – Model residuals.
alternative (String) – Optional argument, specifies alternative to use for finding critical values. Options include:
"increasing"
,"decreasing"
, or"two-sided"
. Default ="two-sided"
.
- Returns:
test_stat (Scalar) – Test statistic for the heteroskedasticity.
p_value (Scalar) – P-value for the test statistic for the heteroskedasticity.
Examples#
// Generate random vector of residuals
rndseed 929212;
resid = rndn(150, 1);
// Test for heteroskedasticity
{ test_stat, p_val } = ssHeteroskedasticityTest(resid);
The code above results in the following:
test_stat = 0.9598
p_val = 0.8854
Source#
ssmain.src
See also
Functions ssLjungBox()
, ssJarqueBera()