White’s Lagrange Multiplier Test for Heteroscedasticity
Parameters : | resid : array_like
exog : array_like
resstore : instance (optional)
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Returns : | lm : float
lm_pvalue :float :
fvalue : float
f_pvalue : float
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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 now test statistic reproduces Greene 5th, example 11.3