Testing for OLS Heteroscedasticity White's General Test

Question

I've done my best to search the help and google White's test (http://en.wikipedia.org/wiki/White_test) in Mathematica. Can anyone point me to a function or Mathematica reference for this or do you have to code it up yourself if you want it?

Thanks, Peter

while i could give an answer there are examples to do the White test and it's alternative, the Breusch-Pagan. Please have a look at LinearModelFit under Applications. There you'll find examples for White's heteroskedasticity-consistent covariance estimate and Breusch-Pagan test statistics. — Stefan, Mar 01 '14 at 21:30

score 9 · Accepted Answer · answered Mar 01 '14 at 23:01

I was playing around a little with what I've learned from rm-rf.

Here's a small package which encapsulates the White and the Breusch-Pagan test. The math is correct, but I wanted to have a kind of statistical distribution behaviour, where you can query certain properties using a string.

I'd appreciate to have overloaded the LinearModelFit, but decided to do it differently, since I was concerned on creating more trouble.

BeginPackage["FitModel`"];

FitModel::usage = "";

Begin["`Private`"];

FitModel[data_List, coords_List] :=
    With[{lm = LinearModelFit[data, coords, coords]},
        dispatch[{"BreuschPagan" -> BreuschPagan[data, lm, coords],
                  "WhitesHeteroskedasticity" -> WhitesHeteroskedasticity[lm, coords]}]
];
dispatch[list_][field_] := field /. list
dispatch[list_]["Properties"] := list /. Rule[field_, _] :> field
dispatch /: ReplaceAll[fields_, dispatch[list_]] := fields /. list
Format[dispatch[list_], StandardForm] := 
    HoldForm[dispatch]["<" <> ToString@Length@list <> ">"]

BreuschPagan[data_List, lm_, coords_List] := Module[{lm2},
    lm2 = LinearModelFit[Block[{newdata = data},
    newdata[[All, -1]] = lm["FitResiduals"]^2; newdata], coords, coords];
    With[{sqResids = 
         lm["FitResiduals"]^2}, (Variance[sqResids] (Length[data] - 1) - 
           Total[lm2["FitResiduals"]^2]) / 2 / (Total[sqResids]/Length[data])^2]
]

WhitesHeteroskedasticity[lm_, coords_List] := 
    Module[{desmat, resids},
        {desmat, resids} = lm[{"DesignMatrix", "FitResiduals"}];
        With[{inv = Inverse[Transpose[desmat].desmat], 
            xresid = resids*desmat},
               inv.Transpose[xresid].xresid.inv]
]
End[];

EndPackage[];

To test it:

data = Flatten[ Table[{x, y, z, 1.2 x - 3.4 y + 10 z + RandomReal[10]}, {x, 
 RandomReal[10, 3]}, {y, RandomReal[10, 3]}, {z, 
 RandomReal[10, 3]}], 2];

f = FitModel[data, {x, y, z}];
f["BreuschPagan"]
    => yields with actual data: 0.264212

f["WhitesHeteroskedasticity"] // MatrixForm
=> yields:
(2.95722    -0.262317   -0.294977   -0.0841742
 -0.262317  0.108253    0.022681    -0.0249064
 -0.294977  0.022681    0.0542495   -0.0110319
 -0.0841742 -0.0249064  -0.0110319  0.0409517)

I really hope this helps.

Testing for OLS Heteroscedasticity White's General Test

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