White Test

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A White Test is a statistical testing of whether the residual variance of a variable in a regression model is constant.



References

2016

In cases where the White test statistic is statistically significant, heteroskedasticity may not necessarily be the cause; instead the problem could be a specification error. In other words, the White test can be a test of heteroskedasticity or specification error or both. If no cross product terms are introduced in the White test procedure, then this is a pure test of pure heteroskedasticity. If cross products are introduced in the model, then it is a test of both heteroskedasticity and specification bias.