Cross-Section data set ceosal2 (Makhreo Enoch Chalai – B.A. Econ.

IV Sem)
# Goldfeld Quant test for heteroscedasticity
1. Null Hypothesis (H0): Homoscedasticity (equal variance in segment 1 and segment 2)
2. Alternate Hypothesis (H1): Heteroscedasticity (variance in segment 1 < variance in segment 2
GQ = 1.8618, df1 = 86, df2 = 87
p-value of F-test = 0.002137

 Since this is lesser than 0.01 (1% significance level), we reject the Null Hypothesis
 Implies: There is Heteroscedasticity in the model

Fdf1=86, df2=87, ɑ=0.01 = 1.56 (df1 100, df2 120) table e-3 (take approximate values
Fdf1=86, df2=87, ɑ=0.05 = 1.37 from Gujarati)

 Since F-statistic 1.8618 > 1.56. Thus, Null is rejected at the 1% level of significance.
 There is heteroscedasticity.

# Breusch-Pagan test for Heteroscedasticity

BP = 0.0762, df1 =1, p-value of chi-square = 0.7824
1. Ho : Homoscedasticity
2. H1 : Heteroscedasticity

χ2 1 at 1% level = 6.6349 table e-4 (take approximate values

2
χ 1 at 5% level = 3.8415 from Gujarati)

 As 0.0762 < 3.8415, we do not reject the null hypothesis at 5% level.

 There is no heteroscedasticity in this regression model
 Also, p-value suggests the same as there lies more than 0.05 (5%) of area to the right of BP; 0.7825 contains
0.05 and 0.01

# White's test for heteroscedasticity

1. Ho : Homoscedasticity
2. H1 : Heteroscedasticity
BP = 0.0233, df1 = 1, p-value of Chi-square statistics is 0.9614

χ2 1 at 1% level = 6.6349
χ2 1 at 5% level = 3.8415

 As 0.0233 < 3.8415, we do not reject the null hypothesis at 5% level of significance.
 Also, p-value (=0.9614) > 0.1 i.e. the Null hypothesis remains accepted.