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

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

public class HarveyGodfrey
extends HypothesisTest

The Harvey-Godfrey 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 Harvey-Godfrey test tests for conditional heteroskedasticity. The test statistics is computed by regressing log of squared 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

HarveyGodfrey(Residuals residuals)
Perform the Harvey-Godfrey 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

HarveyGodfrey

public HarveyGodfrey(Residuals residuals)

Perform the Harvey-Godfrey 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