HETROSKEDOSTICITY

ASSIGNMENT NO # 3

QAISAR SHAHZAD
BECF15M033
DEPARTMENT OF ECONOMICS
Sample regression:
Dependent Variable: PRICES
Method: Least Squares
Date: 03/22/19 Time: 16:27
Sample (adjusted): 1 88
Included observations: 88 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 336747.2 35864.82 9.389345 0.0000

ROOM -5864.877 4065.990 -1.442423 0.1529
SQFEETS -31.76323 15.13829 -2.098204 0.0389

R-squared 0.075256 Mean dependent var 245460.8

Adjusted R-squared 0.053497 S.D. dependent var 83585.01
S.E. of regression 81318.51 Akaike info criterion 25.48363
Sum squared resid 5.62E+11 Schwarz criterion 25.56809
Log likelihood -1118.280 Hannan-Quinn criter. 25.51766
F-statistic 3.458649 Durbin-Watson stat 1.893624
Prob(F-statistic) 0.035968

Breuch-Pagan Test:
Dependent Variable: UTSQ
Method: Least Squares
Date: 03/22/19 Time: 16:42
Sample (adjusted): 1 88
Included observations: 88 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 4.26E+09 3.01E+09 1.416817 0.1602

ROOM 6.93E+08 3.41E+08 2.033306 0.0451
SQFEETS -548276.6 1269481. -0.431890 0.6669

R-squared 0.047326 Mean dependent var 6.39E+09

Adjusted R-squared 0.024910 S.D. dependent var 6.91E+09
S.E. of regression 6.82E+09 Akaike info criterion 48.15741
Sum squared resid 3.95E+21 Schwarz criterion 48.24187
Log likelihood -2115.926 Hannan-Quinn criter. 48.19144
F-statistic 2.111272 Durbin-Watson stat 2.002492
Prob(F-statistic) 0.127390

H0 = Homodoskesticity
H1 = Hetroskedosticity

Chi = 5.99
Lm = 4.16

Interpretation:
If lm value is smaller than Chi, then we reject H0 and accept H1. It means that there is no
problem of hetroskedosticity. The above result show that LM (4.16) < Chi (5.9). So there is no
problem of hetroskedosticity in our data.

Glesjer Test:

Dependent Variable: ABSUT

Method: Least Squares
Date: 03/22/19 Time: 16:49
Sample (adjusted): 1 88
Included observations: 88 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 49552.94 18900.88 2.621726 0.0104

ROOM 4697.878 2142.791 2.192411 0.0311
SQFEETS -2.117574 7.977932 -0.265429 0.7913

R-squared 0.053673 Mean dependent var 67176.64

Adjusted R-squared 0.031406 S.D. dependent var 43544.37
S.E. of regression 42855.13 Akaike info criterion 24.20253
Sum squared resid 1.56E+11 Schwarz criterion 24.28699
Log likelihood -1061.912 Hannan-Quinn criter. 24.23656
F-statistic 2.410479 Durbin-Watson stat 1.939385
Prob(F-statistic) 0.095885

H0 = Homodoskesticity
H1 = Hetroskedosticity

Chi = 5.9
Lm = 4.723

Interpretation:
If lm value is smaller than Chi, then we reject H0 and accept H1. It means that there is no
problem of hetroskedosticity. The above result show that LM (4.723) < Chi (5.9). So there is
no problem of hetroskedosticity in our data.

Harvey God Frey Test:

Dependent Variable: LOG(UTSQ)

Method: Least Squares
Date: 04/01/19 Time: 17:54
Sample (adjusted): 1 88
Included observations: 88 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 20.39420 1.146710 17.78496 0.0000

ROOMS 0.239575 0.130002 1.842852 0.0688
SQFEET -4.38E-05 0.000484 -0.090476 0.9281
R-squared 0.038431 Mean dependent var 21.42222
Adjusted R-squared 0.015805 S.D. dependent var 2.620800
S.E. of regression 2.600006 Akaike info criterion 4.782401
Sum squared resid 574.6027 Schwarz criterion 4.866856
Log likelihood -207.4256 Hannan-Quinn criter. 4.816426
F-statistic 1.698578 Durbin-Watson stat 1.893400
Prob(F-statistic) 0.189094

H0 = Homodoskesticity
H1 = Hetroskedosticity

Chi = 5.9
Lm = 3.4

Interpretation:
If lm value is smaller than Chi, then we reject H0 and accept H1. It means that there is no
problem of hetroskedosticity. The above result show that LM (3.4) < Chi (5.9). So there is no
problem of hetroskedosticity in our data.

Park Test:
Dependent Variable: LOG(UTSQ)
Method: Least Squares
Date: 03/22/19 Time: 17:25
Sample (adjusted): 1 88
Included observations: 88 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 17.60582 8.147750 2.160819 0.0335

LOG(ROOM) 1.226571 0.645670 1.899687 0.0609
LOG(SQFEETS) 0.270185 1.079994 0.250173 0.8031

R-squared 0.042745 Mean dependent var 21.42222

Adjusted R-squared 0.020222 S.D. dependent var 2.620800
S.E. of regression 2.594166 Akaike info criterion 4.777904
Sum squared resid 572.0244 Schwarz criterion 4.862358
Log likelihood -207.2278 Hannan-Quinn criter. 4.811928
F-statistic 1.897800 Durbin-Watson stat 1.911591
Prob(F-statistic) 0.156195

H0 = Homodoskesticity
H1 = Hetroskedosticity

Chi = 5.99
Lm = 3.761560
Interpretation:
If lm value is smaller than Chi, then we reject H0 and accept H1. It means that there is no
problem of hetroskedosticity. The above result show that LM (3.8) < Chi (5.9). So there is no
problem of hetroskedosticity in our data.

Gold Feld Quant Test.

Sample 1-37
Price = f(room)

Dependent Variable: PRICE

Method: Least Squares
Date: 04/01/19 Time: 18:04
Sample: 1 37
Included observations: 37

Variable Coefficient Std. Error t-Statistic Prob.

C 249600.2 33327.28 7.489365 0.0000

ROOMS -1196.569 6057.477 -0.197536 0.8446

R-squared 0.001114 Mean dependent var 243714.4

Adjusted R-squared -0.027426 S.D. dependent var 89592.75
S.E. of regression 90813.02 Akaike info criterion 25.72353
Sum squared resid 2.89E+11 Schwarz criterion 25.81061
Log likelihood -473.8853 Hannan-Quinn criter. 25.75423
F-statistic 0.039020 Durbin-Watson stat 1.844354
Prob(F-statistic) 0.844551

Sample 51-88
Price= f(rooms)

Dependent Variable: PRICE

Method: Least Squares
Date: 04/01/19 Time: 18:06
Sample: 51 88
Included observations: 38

Variable Coefficient Std. Error t-Statistic Prob.

C 317391.6 33520.07 9.468702 0.0000

ROOMS -14053.16 6521.236 -2.154985 0.0379

R-squared 0.114260 Mean dependent var 250824.0

Adjusted R-squared 0.089656 S.D. dependent var 84090.06
S.E. of regression 80231.99 Akaike info criterion 25.47443
Sum squared resid 2.32E+11 Schwarz criterion 25.56062
Log likelihood -482.0141 Hannan-Quinn criter. 25.50509
F-statistic 4.643960 Durbin-Watson stat 2.232493
Prob(F-statistic) 0.037927
H0 = Homodoskesticity
H1 = Hetroskedosticity

F-Crit = 1.72
F-Stat= 1.2

Interpretation:

If F calculated value is greater than F critical, then we reject H0 and accept H1. It means that
there is no problem of hetroskedosticity. The above result show that F-Statistic< F critical. So
there is no problem of hetroskedosticity in our data.

White Test:

Heteroskedasticity Test: White

F-statistic 2.350202 Prob. F(2,35) 0.1102

Obs*R-squared 4.499082 Prob. Chi-Square(2) 0.1054
Scaled explained SS 2.514187 Prob. Chi-Square(2) 0.2845

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/01/19 Time: 18:20
Sample: 51 88
Included observations: 38

Variable Coefficient Std. Error t-Statistic Prob.

C -8.26E+09 7.27E+09 -1.134929 0.2641

ROOMS^2 -4.15E+08 2.66E+08 -1.562256 0.1272
ROOMS 5.35E+09 2.95E+09 1.811354 0.0787

R-squared 0.118397 Mean dependent var 6.10E+09

Adjusted R-squared 0.068020 S.D. dependent var 6.90E+09
S.E. of regression 6.66E+09 Akaike info criterion 48.15169
Sum squared resid 1.55E+21 Schwarz criterion 48.28098
Log likelihood -911.8821 Hannan-Quinn criter. 48.19769
F-statistic 2.350202 Durbin-Watson stat 1.750378
Prob(F-statistic) 0.110225

H0 = Homodoskesticity
H1 = Hetroskedosticity

Chi = 5.99
Lm = 3.80
Interpretation:
If lm value is smaller than Chi, then we reject H0 and accept H1. It means that there is no
problem of hetroskedosticity. The above result show that LM (3.80) < Chi (5.9). So there is no
problem of hetroskedosticity in our data.

ARCH Test:
Heteroskedasticity Test: ARCH

F-statistic 1.210430 Prob. F(1,35) 0.2788

Obs*R-squared 1.236824 Prob. Chi-Square(1) 0.2661

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 04/01/19 Time: 18:24
Sample (adjusted): 52 88
Included observations: 37 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 5.07E+09 1.48E+09 3.424237 0.0016

RESID^2(-1) 0.182094 0.165510 1.100196 0.2788

R-squared 0.033428 Mean dependent var 6.19E+09

Adjusted R-squared 0.005811 S.D. dependent var 6.55E+09
S.E. of regression 6.53E+09 Akaike info criterion 48.09077
Sum squared resid 1.49E+21 Schwarz criterion 48.17784
Log likelihood -887.6792 Hannan-Quinn criter. 48.12146
F-statistic 1.210430 Durbin-Watson stat 2.025415
Prob(F-statistic) 0.278757

H0 = Homodoskesticity
H1 = Hetroskedosticity

Chi = 5.99
Lm = 3.80

Interpretation:
If lm value is smaller than Chi, then we reject H0 and accept H1. It means that there is no
problem of hetroskedosticity. The above result show that LM (3.80) < Chi (5.9). So there is no
problem of hetroskedosticity in our data.