wh.test {desk}

White Heteroskedasticity Test

Description

White's test for heteroskedastic errors.

Usage

wh.test(mod, data = list(), sig.level = 0.05, details = FALSE, hyp = TRUE)

Arguments

mod

estimated linear model object or formula.

data

if mod is a formula then the corresponding data frame has to be specified.

sig.level

significance level. Default value: sig.level = 0.05.

details

logical value indicating whether specific details about the test should be returned.

hyp

logical value indicating whether the hypotheses should be returned.

Value

A list object including:

hyp	character matrix of hypotheses (if hyp = TRUE).
results	a data frame of basic test results.
hreg	matrix of aux. regression results.
stats	additional statistic of aux. regression.
nulldist	type of the null distribution with its parameters.

References

White, H. (1980): A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica 48, 817-838.

See Also

bptest.

Examples

## White test for a model with two regressors
X <- wh.test(wage ~ educ + age, data = data.wage)

## Show the auxiliary regression results
X$hreg

## Prettier way
print(X, details = TRUE)

## Plot the test result
plot(X)