Dear all,
in order to test the presence of heteroskedasticity in my panel I estimated
the model with explicit dummies using -ivreg2- and then I runned -ivhettest
-. Now the problem is that I get different results depending on whether I
specify or not a potentially endogenous regressor. That is, if the model I
test is the following
ivreg2 depvar x1 x2 x3 r2-r20 (x4=l.x4 + other instrum)
where r2-r20 are the explicit dummies (regions in my case), then after
running -ivhettest - I get P-value = 0.9997 which means that there is no
heteroskedasticity
but
If I test the following alternative model
ivreg2 depvar x1 x2 x3 r2-r20 x4
then after running -ivhettest - again I get P-value = 0.0096 which rejects
the null.
It sounds very weird for me that there is no heteroskedasticity (it is a
panel of regions...), moreover I also checked whether the suspected
regressor is endogenous including the option endog (x4), and the p-value
doesn't reject the null that x4 is exogenous.
Maybe I'm doing some mistake....Does anybody know why I get different
results? And which result is telling the truth?
Thank you
Ivan
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