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Re: st: re: heteroskedasticity questions


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: heteroskedasticity questions
Date   Sat, 24 Feb 2007 11:03:29 -0500

At 10:41 AM 2/24/2007, Kit Baum wrote:
(1) G-Q is strictly dominated by Breusch-Pagan and should never be
used. It is essentially a two-sample test of the residual variances
and is quite crude in comparison to B-P(-Cook-Weisberg).
Thanks much Kit. I keep adding stuff to my notes, so it helps to find areas where I can safely cut! Or just go over quickly, so people know what it is in case they see it used.


(2) B-P (estat hettest) need not look only at yhat. You can specify a
varlist and include the Xs (or any other candidate variables,
including those with a parabolic shape) in the varlist and have a
good test of the notion that the dist of the squared errors is indep
of all of those. The addition of more variables (a la White test)
reduces the power of the test, but may be more illuminating.
Am I correct in saying that -estat imtest- is White's general test, or something like that? If I don't have any strong theory about the form of hetero, would it make sense just to do -estat hettest- and -estat imtest- routinely?

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Richard Williams, Notre Dame Dept of Sociology
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EMAIL: Richard.A.Williams.5@ND.Edu
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