Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

white heterosced. test: manually and using imtest, white


From   Olena Stavrunova <olena-stavrunova@uiowa.edu>
To   statalist@hsphsun2.harvard.edu
Subject   white heterosced. test: manually and using imtest, white
Date   Fri, 13 Feb 2004 15:51:21 -0600

Dear Statalist,
Could you please advise me on the following matter:
I have to do a general (full) White heteroscedasticity test for my regression 
with 9 variables. Number of unique variables (excluding constant) that should 
be included in the regression of squared residuals  on the cross-products of 
x's is 39. When I manually  run this auxiliary regression, Stata drops 2 
variables. Resulting test statistic has Chi_2(37) distribtion. I get the same 
result using whitetst command which I downloaded from the web. This command  
relies on Stata's regress to keep only unique variables in the auxiliary 
regression.
But when I use imtest, white , my test statistic is reported to have Chi_2(39) 
distribution and it's value is slightly different from the one I obtain 
manually. 
So, my questions are: how does the imtest, white calculate the test statistic? 
And how can I make Stata not to drop variables it finds collinear?
Thank you very much!

Olena Stavrunova
PhD student
Department of Economics 
University of Iowa

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index