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Re: st: White test for heteroskedasticity: maxvar


From   "Gauri Khanna" <gwkhanna@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: White test for heteroskedasticity: maxvar
Date   Thu, 17 Aug 2006 16:22:06 +0000

Dear Rudy,

Thank you for the suggestion. Will try it. I also performed an hettest as an alternative which did not run into this problem of too many variables.


Gauri



From: Rudy Fichtenbaum <rudy.fichtenbaum@wright.edu>
Reply-To: statalist@hsphsun2.harvard.edu
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: White test for heteroskedasticity: maxvar
Date: Thu, 17 Aug 2006 08:05:16 -0400

Gauri,

You might also consider running the special case of White's test suggested by Wooldridge. He suggests regressing uhat squared (the squared residual) on yhat and yhat squared (the predicted value from an ols regression and the predictied value squared). The predicted value and the predicted value squared are functions of all of your independent variables. This amounts to imposing some restrictions on the function that contains all of the original independent variables, the independent variables squared and the cross products. You can calculate the LM statistic by taking n times the R square from the equation above which has a chi square distribution with two degrees of freedom.

Rudy

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