How do you check heteroskedasticity in EViews?
To carry out any of the heteroskedasticity tests, select View/Residual Diagnostics/Heteroskedasticity Tests. This will bring you to the following dialog: You may choose which type of test to perform by clicking on the name in the Test type box.
What is the best test for heteroskedasticity?
Breusch Pagan Test It is used to test for heteroskedasticity in a linear regression model and assumes that the error terms are normally distributed. It tests whether the variance of the errors from a regression is dependent on the values of the independent variables. It is a χ2 test.
How do you get rid of heteroskedasticity?
How to Fix Heteroscedasticity
- Transform the dependent variable. One way to fix heteroscedasticity is to transform the dependent variable in some way.
- Redefine the dependent variable. Another way to fix heteroscedasticity is to redefine the dependent variable.
- Use weighted regression.
What is the problem with heteroscedasticity?
Heteroscedasticity is a problem because ordinary least squares (OLS) regression assumes that all residuals are drawn from a population that has a constant variance (homoscedasticity). To satisfy the regression assumptions and be able to trust the results, the residuals should have a constant variance.
Can EViews perform heteroskedasticity tests on panel data?
EViews does not have built in heteroskedasticity tests for panel data. EViews Gareth wrote: EViews does not have built in heteroskedasticity tests for panel data.
How to test for heteroskedasticity in unstructured data?
In seeking to test for heteroskedasticity, it seems the only way to use the Eviews built-in tests is to, as suggested above, run an OLS model on the unstructured dataset (ie. as stacked data rather than as a pooled time-series cross section model) and apply the Eviews White’s Test that way.
Is there a white test for heteroskedaticity?
Thus there is no “White test” or simple “White standard errors”. The idea of heteroskedaticity is more complicated in a panel setting – is the covariance between errors within cross-sections only, within period only, or a mixture? Thus the options for testing and adjusting covariances are different.
How to test serial correlation LM and heteroskedasticity tests for panel data?
The serial correlation LM test and Heteroskedasticity test is only available for a Undated Data. Is there another way to test them for Panel Data? Heteroskedasticity tests are build in under View->Residual Diagnostics->Heteroskedasticity test. The Arrelano-Bond autocorrelation test is available if you have estimated via DPD.