Grocer Function

NAME

white0 - White's heteroskedasticity test

CALLING SEQUENCE

[f,f_pvalue,nvar2,r2]=white0(r,np)

PARAMETERS

Input

Output

DESCRIPTION

Computes the value of White's heteroskedasticity test (see White, H. (1980) "A heteroskedastic-consistent covariance matrix estimator and a direct test for heteroskedasticity", Econometrica, 48, 817-838). Results are stored as numbers and are not displayed on screen.

EXAMPLE

[f,f_pvalue,nvar2,r2]=white0(resulols)

This example is taken from function white. Useful mainly for programming purpose (since white does much more).

AUTHOR

Eric Dubois 2002