Homoscedasticity and Heteroscedasticity.

1. Park test: (cannot reject H0 = Homoscedasticity)

 Create OLS: Quick > estimate equation Ho= Homoscedasticity
H1= Heteroscedasticity

Prob < 0.01, 0.05, 0.10

Significant = reject H0 but accept H1

Prob > 0.01, 0.05, 0.10

Insignificant = accept/cannot reject H0 but
reject H1
 Make residual: View > Actual, Fitted, Residual > Actual, Fitted, Residual Table.

Copy all the residual value.

 Generate series for log/ln variables: Quick > Generate series.

Generate series:
Lncpi=log(cpi)
Lnipi=log(ipi)
Lngold=log(gold)
 Estimate equation: Quick > estimate equation.

Insignificant.
Cannot reject H0
2. Glejser test :
 Convert to absolute value.
 To detect Heteroscedasticity.
 Generate series for absolute value: Quick > Generate series.

Negative value to positive value.

 Estimate equation for Inverse, Squared and Actual.

Significant. Insignificant.

Reject H0 Cannot reject H0

Significant.

Reject H0
 Using Heteroscedasticity test.

Significant or not?
 3. White test.

Plot scatter graph.

Generate series at the command for ipi u and cpi u.

 Using Heteroscedasticity test > white.

 Multicollinearity.

 Correlation.

Estimate eq:
gold c cpi ipi

The highest value have correlation.

  Coefficient Variance Decomposition.

CDV: k between 100 to 1000 =

Multicollinearity.
 Condition scalar:

Multicollinearity.

 Variance Inflation Factors.

VIF > 10

Multicollinearity.