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st: re: heteroskedasticity questions


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: heteroskedasticity questions
Date   Sat, 24 Feb 2007 10:44:51 -0500

Another well-kept secret in the area of H testing is official - robvar-, which is very useful for testing for groupwise H (it can be thought of as a G-group generalization of the Goldfeld-Quandt two- sample test). See

Christopher F Baum, 2006.
"Stata tip 38: Testing for groupwise heteroskedasticity," Stata Journal, StataCorp LP, vol. 6(4), pages 590-592, December.

Kit

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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