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Testing the Homoskedasticity/Heteroskedasticity of the Errors Using the White Test: Pattern Classification by k-Variances and Informational Criteria

  • Daniel CiuiuEmail author
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 31)

Abstract

In this paper we will test the homoskedasticity/heteroskedasticity of the errors for a linear regression model using the White homoskedasticity test. In the case of heteroskedasticity we use the k-variances algorithm to classify the data such that all the classes are homoskedastic. The informational criteria analogues to the Akaike and Schwartz criteria are used to choose the best classification.

Key words

Homoskedasticity k-variances Informational criteria 

Notes

Acknowledgements

This paper is supported by the Sectorial Operational Programme Human Resources Development (SOP HRD) financed from the European Social Fund and by the Romanian Government under the contract number SOP HRD/89/1.5/S/62988.

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Copyright information

© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.Technical University of Civil Engineering, BucharestBucharestRomania
  2. 2.Romanian Institute for Economic ForecastingBucharestRomania

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