Interpretation of the Breusch Pagan Godfrey test for heteroskedasticity

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anni0308
Posts: 3
Joined: Sat Jun 02, 2018 3:04 am

Interpretation of the Breusch Pagan Godfrey test for heteroskedasticity

Postby anni0308 » Mon Jul 16, 2018 7:24 am

Dear Community :)

I have problems interpreting the Breusch Pagan Godfrey test for heteroskedasticity. I read the user guide but do not understand their interpretation:

http://www.eviews.com/help/helpintro.html#page/content/testing-Residual_Diagnostics.html

The Null Hypothesis states that no heteroskedasticity exists (= homoskedasticity exists).

On the bottom of the user guide they have an example with the following result:
testing.033.4.67.jpg
testing.033.4.67.jpg (88.9 KiB) Viewed 227 times


The user guide states:
This output contains both the set of test statistics, and the results of the auxiliary regression on which they are based. All three statistics reject the null hypothesis of homoskedasticity.


However, the Prob (F-Statistic) and Prob (Chi-Square) are both 0 and the Null Hypothesis should therefore not be rejected (=no heteroskedasticity exists). Why do they reject the null hypothesis?

Reviewing my data, I received the following results:

test for heteroskedasticity.PNG
test for heteroskedasticity.PNG (56.76 KiB) Viewed 227 times


Usually, I would reject the null hypothesis (as all values above 0,05) but is this correct? Where is the mistake?

I am grateful for any help!

Thank you very much,
Annika

startz
Non-normality and collinearity are NOT problems!
Posts: 3361
Joined: Wed Sep 17, 2008 2:25 pm

Re: Interpretation of the Breusch Pagan Godfrey test for heteroskedasticity

Postby startz » Mon Jul 16, 2018 7:35 am

You are interpreting p-values backwards. A low p-value means reject the null.


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