TD_WHITES_GENERAL checks is a statistical test that checks for the presence of homoscedastic or heteroscedastic variance among the residual terms after running a regression.
The Whites-General test does not require reordering of the series like the Goldfeld-Quandt test, and is not sensitive to the normal distribution assumption like the Breusch-Pagan-Godfrey test.
The following procedure is an example of how to use TD_WHITES_GENERAL:
- Use TD_MULTIVAR_REGR with RESIDUALS(1) to perform a fit operation and generate an ART with a ARTFITRESIUDALS layer.
- Extract the residuals into an ART using TD_EXTRACT_RESULTS.
- Use TD_WHITES_GENERAL on the ART containing the TD_MULTIVAR_REGR residuals.
- Retrieve the TD_WHITES_GENERAL results from the primary layer to determine if the variance is homoscedastic or heteroscedastic.ACCEPT means apparent homoscedastic variance. REJECT means heteroscedastic variance.