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homoscedastic

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Breusch–Pagan test

Overview page. Subjects: Economics.

In a linear regression model, a test of the null hypothesis of homoscedasticity against the alternative hypothesis that the variance of observation i has the form σ 2/null...

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heteroscedastic

Overview page. Subjects: Mathematics — Financial Institutions and Services.

In statistics, describing the errors in a regression analysis that are not constant for different values of the independent variable. Compare homoscedastic. See general autoregressive...

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heteroscedasticity

Overview page. Subjects: Economics.

Having different variances. A set, or a vector, of observations is heteroscedastic if the variance is different for different observations. Heteroscedasticity observed in cross-sectional...

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serial correlation

Overview page. Subjects: Economics — Probability and Statistics.

If {X i } is a sequence of random variables and correlation (X i , X i+1) ≠ 0...

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White's test

Overview page. Subjects: Economics.

A test of the null hypothesis of homoscedasticity against the alternative of heteroscedasticity, based on the fact that under heteroscedasticity the ordinary least squares estimator of the...

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