WhiteTest {sasLM}

White's Model Specification Test

Description

This is shown in SAS PROC REG as the Test of First and Second Moment Specification.

Usage

  WhiteTest(rx)

Arguments

rx

a result of lm

Details

This is also called as White's general test for heteroskedasticity.

Value

Returns a direct test result by more coomplex theorem 2 , not by simpler corollary 1.

Author(s)

Kyun-Seop Bae [e-mail]

References

White H. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica 1980;48(4):817-838.

Examples

  WhiteTest(lm(mpg ~ disp, mtcars))