ISmWhiteHeteroskedasticityTest

Assembly: Stat;

Description

The ISmWhiteHeteroskedasticityTest interface determines the parameters of the White test for heteroscedasticity.

Inheritance Hierarchy

          IStatMethod

          ISmWhiteHeteroskedasticityTest

Comments

If the probability value is less than 0.05, the null hypothesis (residuals are heteroskedastic) is said to be rejected at the 5% confidence level.

Hypothesis:

The function returns chi-square statistics (adjusted determination coefficient multiplied by the number of observations) and the appropriate probability values.

Properties

  Property name Brief description
ARMA

The ARMA property determines autoregression and moving average orders.
ChiTest

The ChiTest property returns chi-square statistics values.
CrossProduction

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

The Explained property determines an explained series.
Explanatories

The Explanatories property determines explanatory series.
Fitted

The Fitted property returns a modeling series.
MissingData

The MissingData property determines missing data treatment method.
ModelCoefficients

The ModelCoefficients property returns parameters of submodel coefficients.
ModelPeriod

The ModelPeriod property determines sample period parameters.
Residuals

The Residuals property returns a residual series.
SummaryStatistics

The SummaryStatistics property returns summary statistics.

Properties inherited from IStatMethod

  Property name Brief description
DisplayName The DisplayName property returns the displayed method name.
ErrorByStatus The ErrorByStatus property returns an error message by the error number.
Errors The Errors property returns a message with all the errors and warnings.
Name The Name property returns the internal method name.
PerformanceTime The PerformanceTime property returns method execution time.
Status The Status property returns the method execution status.
SupportsR The SupportsR property returns whether statistical method can be calculated via R package.
UseR The UseR property determines whether statistical method is calculated via the R package.
WarningByStatus The WarningByStatus property returns a warning text by its number.
Warnings The Warnings property returns the warnings that occurred on method calculation.
WarningsCount The WarningsCount property returns the number of warnings that occurred on method calculation.
WarningsNumbers The WarningsNumbers property returns numbers of the warnings that occurred on method calculation.

Methods inherited from IStatMethod

  Method Name Brief description
Clone The Clone method clones a statistical method object.
Execute The Execute method executes a statistical method.
LoadFromXML The LoadFromXML method loads statistical method settings from XML code.
SaveToXML The SaveToXML method unloads statistical method settings to XML code.

See also:

Stat Assembly Interfaces