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Re: st: Test for Heteroscedasticity in Clusterd Regression


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test for Heteroscedasticity in Clusterd Regression
Date   Sun, 7 Jun 2009 08:40:03 -0400

<>
ivreg2 (from ssc) followed by ivhettest (also from SSC) works fine. I believe it should work after ivregress as well. Note that the test of -hettest- is not valid in any event in an IV context; see Mark Schaffer's help file for -ivhettest-.


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html



On Jun 7, 2009, at 02:33 , statalist-digest wrote:

I would like to test my regression for heterscedasticity using
hettest. Unforunately, I am usinger a cluster variable for the
regression, which leads to hettest not working.
( . hettest - hettest not appropriate after robust cluster())

Is there any alternativ test I could your, maybe even in combination
with ivregress? (hettest does not seem to work in combination with
ivregress, neither)

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