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From |
"Al-Zakwani, Ibrahim" <IAl-Zakwani@healthcore.com> |

To |
"'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: heteroskedasticity question |

Date |
Fri, 13 Feb 2004 15:23:23 -0500 |

Do you mean <whitetst>? findit whitetst will bring it up (see below).. Ibrahim STB-55 sg137 . Tests for heteroskedasticity in regression error distribution (help bpagan, whitetst if installed) C. F. Baum, N. J. Cox & V. Wiggins 5/00 pp.15--17; STB Reprints Vol 10, pp.147--149 commands for White's test and Breusch and Pagan's test for heteroskedasticity -----Original Message----- From: Stephen Schmidt [mailto:schmidsj@union.edu] Sent: Friday, February 13, 2004 1:43 PM To: statalist@hsphsun2.harvard.edu Subject: st: heteroskedasticity question 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? 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/ * * 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/

**Follow-Ups**:**st: more on PCSE***From:*"Andrea Molinari" <A.Molinari@sussex.ac.uk>

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