ISmWhiteHeteroskedasticityTest.CrossProduction

Syntax

CrossProduction: Boolean;

Description

The CrossProduction property determines whether cross products of regressors (explanatory variables) are used.

Comments

If the property value is True, the calculation uses explanatory variables as well as their cross products. For example, if there are three series (S1, S2, S3) to analyze and the property is set to True, the regressors S1*S2, S2*S3, S1*S3 are also analysed. If the property value is False, cross products are not used. We recommend using this option (False) only if the number of explanatory series (regressors) is large.

Test regression with cross products is more reliable.

By default this property is set to False.

Example

The property use is given in the example for ISmWhiteHeteroskedasticityTest.ChiTest.