Financial professional with expertise in financial modeling, risk management, and related quantitative methods including Monte Carlo simulation, linear and logit regression, and statistical hypotheses testing.

Dec
14
accepted What are the three forms of the Park test for heteroskedasticity?
Dec
13
answered Why is homogeneity of variance so important?
Dec
12
revised How to use the Glejser test?
added 301 characters in body
Dec
12
comment What are the three forms of the Park test for heteroskedasticity?
gung, I am aware that the Park test has some problems. However, those may not necessarily have anything to do with the independent variables being correlated or even more so... multi collinear. Thanks much for digging out who the professor is who mentioned the three forms of the Park test. I will contact him.
Dec
11
comment What are the three forms of the Park test for heteroskedasticity?
gung, your concept of correlation may be related to thresholds. If two independent variables are so correlated that they are multicollinear (VIF = 10 corresponds to correlation = 0.95). In such case, it may have implications regarding Park. But,if variables are just correlated within an acceptable range, it may have no implications regarding Park. Let's face it, all variables are correlated. The question is are they correlated too much (multicollinear threshold. VIF = 1) or not?
Dec
11
comment What are the three forms of the Park test for heteroskedasticity?
gung, I may let you argue your point regarding the invalidity of the Park test with Park himself. Hopefully, he is still alive. You could have the same debate regarding the Glejser test with Glejser himself constrained by the same condition (hopefully he is still alive). The URL below is where I did find the mentioning of three different forms of the Park tests. But, the Word document described only two of them. As you can tell this statement is not well sourced or referenced. go.owu.edu/~rjgitter/Heteroscedasticity%20Testing%20Homework.doc
Dec
11
asked How to use the Glejser test?
Dec
11
comment What are the three forms of the Park test for heteroskedasticity?
gung, as mentioned I have seen 3 forms mentioned on the Internet. But, statement was not well sourced. I was hoping someone would know readily of those 3 forms and how well established they are. Thanks to you, we are comfortable with the linear form of Park test (similar to Breusch-Pagan). In Wikipedia, they mention you can use Park on one or more Xs. But, those Xs are tested separately unlike in the Breusch-Pagan test. Park test is designed to test a single variable just like Glejser test. Those are valid as structured even if the Xs are correlated to a certain degree.
Dec
11
comment What are the three forms of the Park test for heteroskedasticity?
gung, the source I found mentioning the three forms of the test was not "well sourced." That's actually part of my question. Can one disclose what the 3d form is? And, based on good reference.
Dec
11
comment What are the three forms of the Park test for heteroskedasticity?
This is a very erudite paragraph. But, it does not answer the question. Also, as a clarification the Breusch-Pagan test does test for heteroskedasticity on the whole model (Residuals vs estimates). The Park test instead is customized to test for heteroskedasticity at the independent variable level (Residuals vs X1, or X2, etc...). Your comment brings out an interesting point. And, that is that the linear form of the Park test is identical in structure to the Breusch-Pagan test. Given that, I think this gives much legitimacy to Park's test linear form.
Dec
10
asked What are the three forms of the Park test for heteroskedasticity?
Nov
4
comment How to test heteroskedasticity at the independent variable level?
The Levene's test is appropriate for hypothesis testing to test the difference between two groups Averages. I don't think it is the most appropriate test for testing heteroskedasticity of residuals for the overall regression or relative to specific independent variables. The latter is really my question.
Nov
1
comment How to test heteroskedasticity at the independent variable level?
Breush-Pagan and/or the White Test. Their respective structure, I think, are not workable for testing the independent variables vs testing the overall model. I uncovered that the Park test is appropriate to test independent variable on this count. But, I think there is some reservations regarding this test. There may be some reservations in testing heteroskedasticity at the variable level, I don't know. Any insight on the issue is welcome.
Oct
31
comment How to test heteroskedasticity at the independent variable level?
This added info under my question does not stick. So, I am duplicating it here. I know how to test the heteroskedasticity of a model's residuals. I am inquiring about how to test for heteroskedasticity for each specific independent variables included in the model. What is the best test for that?
Oct
31
asked How to test heteroskedasticity at the independent variable level?
Sep
24
awarded Autobiographer
Sep
16
awarded Yearling
Sep
16
awarded Yearling
Aug
18
answered Granger Causality coefficient comparison
Aug
15
answered AR terms and independent variable as regressors
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