White heteroscedasticity test for testing heteroscedasticity in the vector auto regression model
| Joint test | |||||
| χ2 | df | Prob. | |||
| 63.37928 | 60 | 0.3581 | |||
| Individual components | |||||
| Dependent | R2 | F(20,17) | Prob. | χ2 (20) | Prob. |
| res1*res1 | 0.64223 | 1.525825 | 0.1914 | 24.40472 | 0.2252 |
| res2*res2 | 0.561192 | 1.087066 | 0.435 | 21.3253 | 0.3782 |
| res2*res1 | 0.699247 | 1.97624 | 0.0805 | 26.57139 | 0.1478 |
| χ2 | df | Prob. | |||
| 63.37928 | 60 | 0.3581 | |||
| Dependent | F(20,17) | Prob. | χ2 (20) | Prob. | |
| res1*res1 | 0.64223 | 1.525825 | 0.1914 | 24.40472 | 0.2252 |
| res2*res2 | 0.561192 | 1.087066 | 0.435 | 21.3253 | 0.3782 |
| res2*res1 | 0.699247 | 1.97624 | 0.0805 | 26.57139 | 0.1478 |
Note:
The null hypothesis of this test is that there is no heteroscedasticity and the hypothesis is accepted as the prob. value of χ2 is 0.3581