The white test helps detect heteroscedasticity in the residuals from "summary" of Introduction to Econometrics by Christopher Dougherty
The White test is a diagnostic tool used in econometrics to detect heteroscedasticity in the residuals of a regression model. Heteroscedasticity refers to the phenomenon where the variance of the error term is not constant across all levels of the independent variables. This violates one of the key assumptions of classical linear regression models, namely that the error term is homoscedastic, or has constant variance. To understand how the White test works, we first need to consider how heteroscedasticity can affect the residuals of a regression model. When the variance of the error term is not constant, it can lead to bia...
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