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Re: estat hettest: Breusch-Pagan Test


From   "Michael S. Hanson" <mshanson@wesleyan.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: estat hettest: Breusch-Pagan Test
Date   Tue, 4 Apr 2006 00:39:44 -0400

suggested by Mark Schaffer) note that the White/Koenker heteroskedasticity test does not require the assumption of normality that the Breusch-Pagan/Godfrey/Cook-Weisberg test (implemented in -estat hettest-) does.

This fact appears to contribute to the observed differences between the two test statistics in my prior messages:

use "http://fmwww.bc.edu/ec-p/data/wooldridge/HPRICE1";, clear
reg lprice llotsize lsqrft bdrms
predict uhat, resid
sktest lprice uhat
swilk lprice uhat


Skewness/Kurtosis tests for Normality
------- joint ------
Variable | Pr(Skewness) Pr(Kurtosis) adj chi2(2) Prob>chi2
-------------+-------------------------------------------------------
lprice | 0.020 0.014 9.78 0.0075
uhat | 0.444 0.001 10.25 0.0059


Shapiro-Wilk W test for normal data
Variable | Obs W V z Prob>z
-------------+-------------------------------------------------
lprice | 88 0.95205 3.560 2.797 0.00258
uhat | 88 0.95184 3.576 2.807 0.00250


I'm still somewhat surprised by the sharp difference between the two statistics in this example, but I appreciate the information provided by Scott, Mark and David to clarify this matter. Based on these results, it seems that the correct inference is provided by the White/Koenker test, which does not reject the null of homoskedasticity.

-- Mike

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