Summarise test statistics in new vector
Posted: Sun Jan 31, 2010 9:04 am
Hi. I got a problem and hope someone can help me.
I have 137 different equations (market model) and want to test heteroskedasticity by the white test. The output are 137 different windows with 137 different test statistics. I am interested in the "obs*R-squared" statistic. Is it possible to select only these numbers and write them into a new vector, so that I have one single list of 137 White test statistics? If yes, can someone please give me an idea of the code, how it is supposed to look like.
best
I have 137 different equations (market model) and want to test heteroskedasticity by the white test. The output are 137 different windows with 137 different test statistics. I am interested in the "obs*R-squared" statistic. Is it possible to select only these numbers and write them into a new vector, so that I have one single list of 137 White test statistics? If yes, can someone please give me an idea of the code, how it is supposed to look like.
best