White’s Lagrange Multiplier Test for Heteroscedasticity.
The residuals. The squared residuals are used as the endogenous
The explanatory variables for the variance. Squares and interaction
terms are automatically included in the auxiliary regression.
The lagrange multiplier statistic.
The p-value of lagrange multiplier test.
The f-statistic of the hypothesis that the error variance does not
depend on x. This is an alternative test variant not the original
The p-value for the f-statistic.
Assumes x contains constant (for counting dof).
question: does f-statistic make sense? constant ?
Greene section 11.4.1 5th edition p. 222. Test statistic reproduces
Greene 5th, example 11.3.