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scikits.statsmodels.sandbox.stats.diagnostic.het_white

scikits.statsmodels.sandbox.stats.diagnostic.het_white(y, x, retres=False)[source]

Lagrange Multiplier Heteroscedasticity Test by White

Notes

assumes x contains constant (for counting dof)

question: does f-statistic make sense? constant ?

References

Greene section 11.4.1 5th edition p. 222

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