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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 > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ 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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: heteroskedasticity question***From:*Stephen Schmidt <schmidsj@union.edu>

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