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Re: st: heteroskedasticity question


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: heteroskedasticity question
Date   Fri, 13 Feb 2004 19:42:24 -0000

Steve,

Date sent:      	Fri, 13 Feb 2004 13:43:22 -0500 (EST)
From:           	Stephen Schmidt <schmidsj@union.edu>
To:             	statalist@hsphsun2.harvard.edu
Subject:        	st: heteroskedasticity question
Send reply to:  	statalist@hsphsun2.harvard.edu

> I'm trying to use Stata 7 to perform White's test for heteroskedasticity
> of unknown form. It appears to me from the help documents that Stata
> does not have a command to automatically perform this test; is that
> correct?

Nope, unless you are being very literal.  Try

-findit heteroskedasticity white-

from within an internet-aware Stata and you'll see some add-ins that 
will do it.  One that isn't listed is our -ivhettest-, which will do 
White's test (amongst others) for OLS as well as for IV, and which is 
also downloadable.

With respect to your other question, "Huber/White/sandwich" is the 
same thing as "White", though I would add that Eicker (sp?) should 
probably be added to the list of originators who deserve the credit.

Cheers,
Mark

> 
> I'm performing it by generating squared residuals and squared
> values of the independent variables. That is, given the original
> regression
> 
>   y = b0 + b1*x1 + b2*x2 + e
> 
> I'm generating e-hat squared, calling it resid2, generating x1sq
> and x2sq, and estimating
> 
>   resid2 = g0 + g1*x1 + g2*x1sq + g3*x2 + g4*x2sq + u
> 
> and then either taking the F-stat from the regression or calculating
> N*R2 which has a chi-squared 4 distribution under the null of no
> heteroskedasticity.
> 
> Question 1: Is this the best way to do this in Stata?
> 
> Question 2: I've also tried using the commands "hettest x1 x2"
> and "hettest x1 x2 x1sq x2sq". They do not give the same answers,
> not close. Can someone give a brief description of what hettest
> does, or a citation to the original article? I'm familiar with
> the Bruesch-Pagan-Godfrey test, but the Cook-Weisburg test which
> is also known as the Breusch-Pagan test appears not to be the
> same thing.
> 
> Question 3: I'm also interested in using White's robust standard
> error formula. The documentation says that "regress y x1 x2, robust"
> will use the "Huber/White/sandwich" standard error formula. Is that
> the same thing, and if not, how do they differ?
> 
> Thanks in advance for assistance.
> 
> Steve Schmidt
> 
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
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*   http://www.ats.ucla.edu/stat/stata/



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