white'stest是什么？金融作业中遇到的词。

white'stest是什么？金融作业中遇到的词。

In statistics, the White test is a statistical test that establishes whether the residual variance of a variable in a regression model is constant (homoscedasticity). To test for constant variance one regresses the squared residuals from a regression model onto the regressors, the cross-products of the regressors and the squared regressors. One then inspects the R2. If homoscedasticity is rejected one can use a GARCH model.

This test, and an estimator for heteroscedasticity-consistent standard errors, were proposed by Halbert White in 1980. These methods have become extremely widely used, making this paper one of the most cited articles in economics

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