TEST_NAMES = ['White', 'Breusch-Pagan', 'Goldfeld-Quandt'] FORMULA = 'value ~ time' class Heteroskedasticity: @staticmethod def het_tests(series: pd.Series, test: str) -> float: """ Testing for heteroskedasticity :param series: Univariate time series as pd.Series :param test: String den...
序列看起来很稳定。我们对新的序列重新进行检验 import numpy as nptest_results = Heteroskedasticity.run_all_tests(np.log(series))# {'Breusch-Pagan': 0.033,# 'Goldfeld-Quandt': 0.18,# 'White': 0.10} 可以看到这次的p值更大。只有一个检验(Breusch-Pagan)拒绝了零假设（这里假设显著性水平为0.0...
Testingforheteroskedasticity:param series:Univariate time seriesaspd.Series:param test:String denoting the test.Oneof'white','goldfeldquandt',or'breuschpagan':return:p-valueasa float.If the p-value is high,we accept thenullhypothesis that the data is homoskedastic""" assert testinTEST_NAMES,'Unkn...
@staticmethoddef het_tests(series: pd.Series, test: str) -> float:"""Testing for heteroskedasticity :param series: Univariate time series as pd.Series:param test: String denoting the test. One of 'white','goldfeldquandt', or 'breuschpag...
网络异质变异检定 网络释义 1. 异质变异检定 但从异质变异检定(heteroskedasticity test),可以看出模型 I b 、 I c 未通过,显示有 www.docstoc.com|基于 1 个网页
xtreg y x1 x2, fe vce(cl id)其中fe也可以是re，id为标示个体的变量。如果这样做了之后，没有...
adf.test(dat[,1]) kpss.test(dat[,1]) ## adf.test(diff(dat[,1]))# After first difference kpss.test(diff(dat[,1])) ddat=data.frame(apply(dat,2,diff)) colnames(ddat)<-c("UnemploymentRate","ShortRate","IP") A regression: ...
This paper shows that a test for heteroskedasticity within the context of classical linear regression can be based on the difference between Wald statistics in heteroskedasticity-robust and nonrobust forms. The test is asymptotically distributed under the null hypothesis of homoskedasticity as chi-squared...
统计量),“hettest” 指“heteroskedasticity test”(异 方差检验)。 选择项 rhs 表示使用方程右边的解释变量,默认使用 拟合值ˆ y。 20 选择项iid 表示使用Koenker(1981)的方法(只需要iid 假定,无须假设正态分布)。 也可以指定解释变量,其命令为 ...
This paper shows that a test for heteroskedasticity within the context of classical linear regression can be based on the difference between Wald statistics in heteroskedasticity-robust and nonrobust forms. The test is asymptotically distributed under the null hypothesis of homoskedasticity as chi-squared...