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st: re: heteroskedasticity questions


From   Kit Baum <kitbaum@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: heteroskedasticity questions
Date   Sat, 24 Feb 2007 12:04:12 -0500

Richard said

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?

With the white option it is. The White test is just a special case of
Breusch-Pagan with a particular choice of -varlist-. -imtest- without
the -white- option is a broader test, due to Cameron and Trivedi,
which examines 2d-4th moments of the error distribution as I
understand it. White, Breusch-Pagan, -robvar-, Goldfled-Quandt all
just consider 2d moment.


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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