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Re: st: re: heteroskedasticity questions


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: st: re: heteroskedasticity questions
Date   Sat, 24 Feb 2007 17:07:25 -0500

At 12:04 PM 2/24/2007, Kit Baum wrote:
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.
Thanks. I was just wondering about that. Stata's help says "White's test is usually very similar to the first term of the Cameron-Trivedi decomposition." So far though, I haven't come across any instances where the White test and the first term of CT were not identical, so I wonder when and if the difference is ever important.



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Richard Williams, Notre Dame Dept of Sociology
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