com.numericalmethod.suanshu.stats.test.regression.linear.heteroskedasticity
Class Glejser

java.lang.Object
  com.numericalmethod.suanshu.stats.test.HypothesisTest
      com.numericalmethod.suanshu.stats.test.regression.linear.heteroskedasticity.Glejser

public class Glejser
extends HypothesisTest

The Glejser test is used to test for heteroskedasticity in a linear regression model. It tests whether the estimated variance of the residuals from a regression are dependent on the values of the independent variables (regressors).

The Glejser test tests for conditional heteroskedasticity. The test statistics is computed by regressing absolute residuals from the original regression against the original regressors (plus intercept). The test is a chi-squared test: the test statistic distribution is nχ² with k degrees of freedom.

Field Summary

protected int	n number of observations
protected Residuals	residuals

Fields inherited from class com.numericalmethod.suanshu.stats.test.HypothesisTest

k, N, pValue, testStatistics

Constructor Summary

Glejser(Residuals residuals)
Perform the Glejser test to test for heteroskedasticity in a linear regression model.

Method Summary

java.lang.String	alternativeHypothesis() Get a description of the alternative hypothesis.
protected OlsRegression	auxiliaryOlsRegression(Vector y, Residuals residuals) the auxiliary regression
OlsRegression	getAuxiliaryRegression()
protected ChiSquareDistribution	getX2()
java.lang.String	nullHypothesis() Get a description of the null hypothesis.
double	pValue() Get the p-value.
double	testStatistics() Get the test statistics.

Methods inherited from class com.numericalmethod.suanshu.stats.test.HypothesisTest

oneSidedPvalue, rejectNull

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

residuals

protected final Residuals residuals

n

protected final int n

number of observations

Constructor Detail

Glejser

public Glejser(Residuals residuals)

Perform the Glejser test to test for heteroskedasticity in a linear regression model.

Parameters:

residuals - the Residuals object from an OLS regression

Method Detail

getAuxiliaryRegression

public OlsRegression getAuxiliaryRegression()

nullHypothesis

public java.lang.String nullHypothesis()

Description copied from class: HypothesisTest

Get a description of the null hypothesis.

Specified by:

nullHypothesis in class HypothesisTest

Returns:

the null hypothesis description

See Also:

Wikipedia: Null hypothesis

alternativeHypothesis

public java.lang.String alternativeHypothesis()

Description copied from class: HypothesisTest

Get a description of the alternative hypothesis.

Specified by:

alternativeHypothesis in class HypothesisTest

Returns:

the alternative hypothesis description

See Also:

Wikipedia: Alternative hypothesis

testStatistics

public double testStatistics()

Description copied from class: HypothesisTest

Get the test statistics.

Overrides:

testStatistics in class HypothesisTest

Returns:

the test statistics

See Also:

Wikipedia: Test statistic

pValue

public double pValue()

Description copied from class: HypothesisTest

Get the p-value.

Overrides:

pValue in class HypothesisTest

Returns:

the p-value

See Also:

Wikipedia: P-value

getX2

protected ChiSquareDistribution getX2()

auxiliaryOlsRegression

protected OlsRegression auxiliaryOlsRegression(Vector y,
                                               Residuals residuals)

the auxiliary regression

Returns:

the auxiliary regression