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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   Sun, 25 Feb 2007 12:37:50 -0500

At 11:02 AM 2/24/2007, Schaffer, Mark E wrote:
One way to approach this that is easy to understand is to use
-ivhettest-, which will handle OLS as a special case.

esttat hettest

gives you the same test stat as

ivhettest, ivlev bpg

which is the Breusch-Pagan-Godfrey-Cook-Weisberg version of the test
that assumes normality and the indicator variables (so to speak, the
directions in which you are looking for heteroskedasticity) are the
regressors excluding the constant (here, x).
To clarify, that is true when there is only one x, but not when there is more than one. More generally you can say

esttat hettest, rhs

gives you the same test stat as

ivhettest, ivlev bpg


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Richard Williams, Notre Dame Dept of Sociology
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