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st: -ivhettest- update


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: -ivhettest- update
Date   Tue, 13 Apr 2004 16:45:41 +0100

An updated version (1.4) of my -ivhettest- is now available from SSC 
archives.

-ivhettest- performs various flavors of Pagan and Hall's (1983) tests 
for heteroskedasticity following instrumental variables (IV) 
estimation with -ivreg- or -ivreg2-.

The only change is to the default choice of indicator variables.  
This is now the set of instruments in levels (excluding the 
constant).  The previous default was to the full set of levels, 
squares and cross-products a la White, but the numbers of indicator 
variables could rapidly get out of hand and was catching some users 
unawares.

Cheers,
Mark

---------------------------------------------------------------------
Abstract:

      ivhettest performs various flavors of Pagan and Hall's (1983)
      tests of heteroskedasticity for instrumental variables (IV)
      estimation.  It will also perform the related standard
      heteroskedasticity tests of  Breusch-Pagan, Godfrey,
      Cook-Weisberg, White and Koenker  after estimation by OLS or IV.
      These are tests of whether there is heteroskedasticity  in the
      estimated regression that  is related to one or more indicator
      variables.  The test flavors vary according to the choice of
      indicator variables and the choice of test statistics.  Under
      the null of no heteroskedasticity, the test statistic is
      distributed as chi-sq with degrees of freedom =  number of
      indicator variables. This is version 1.4 of ivhettest, updated
      from that published in Stata Journal, 3(1).

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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