White test

In statistics, White’s test is a test which 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 $R^\{2\}$. If homoskedasticity is rejected one can use a GARCH model.

The LM test statistic is the product of the $R^\{2\}$ value and sample size. It follows a chi square distribution, with degrees of freedom equal to one less than the number of independent variables.

:$LM\; =\; n\; cdot\; R^2$

ee also

*Breusch-Pagan test