White Test
(Redirected from White test)
Jump to navigation
Jump to search
A White Test is a statistical testing of whether the residual variance of a variable in a regression model is constant.
- Context:
- It a statistical test for homoskedasticity.
- See: Heteroskedasticity, Statistical Test, Regression Analysis, Breusch–Pagan test
References
2016
- (Wikipedia, 2016) ⇒ http://en.wikipedia.org/wiki/White_test 2016-08-13
- In statistics, the White test is a statistical test that establishes whether the residual variance of a variable in a regression model is constant: that is for homoskedasticity. This test, and an estimator for heteroskedasticity-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.
- 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.