Can You Test Heteroskedasticity?

Chloe Bennett
Chloe Bennett
• • 6 min read

There Are Three Primary Ways to Test for Heteroskedasticity. You Can Check It Visually for Cone-Shaped Data, Use the Simple Breusch-Pagan Test for Normally...

Can You Test Heteroskedasticity?

There are three primary ways to test for heteroskedasticity. You can check it visually for cone-shaped data, use the simple Breusch-Pagan test for normally distributed data, or you can use the White test

White test
In statistics, the White test is a statistical test that establishes whether the variance of the errors in a regression model is constant: that is for homoskedasticity. ... In other words, the White test can be a test of heteroskedasticity or specification error or both.
› wiki › White_test
as a general model.

What test do you use to check for heteroscedasticity?

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.

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How do you test for heteroskedasticity in a white test?

Follow these five steps to perform a White test:
  1. Estimate your model using OLS:
  2. Obtain the predicted Y values after estimating your model.
  3. Estimate the model using OLS:
  4. Retain the R-squared value from this regression:
  5. Calculate the F-statistic or the chi-squared statistic:
Chloe Bennett

Chloe Bennett

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Chloe Bennett explores the intersection of pop culture, streaming entertainment, digital trends, and contemporary lifestyle. Her weekly commentary reaches thousands of culture enthusiasts.