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st: RE: Heteroskedasticity test with xtivreg2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Heteroskedasticity test with xtivreg2
Date   Tue, 1 Dec 2009 19:18:42 -0000

Ricardo,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Ricardo Dias de Oliveira Brito
> Sent: 01 December 2009 18:55
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Heteroskedasticity test with xtivreg2
> 
> Dear all,
> 
> Does anybody know how to perform the Pagan-Hall 
> heteroskedasticity test with xtivreg2? The command ivhettest 
> used with ivreg2 is not recognized.

Are you using a fixed effects estimator?  If so, you have two options:

1.  Estimate using ivreg2 but including the fixed effects as dummies.

If you do this, you should use the <varlist> option along with ivsq,
e.g.,

ivhettest z1 z2 z3, ivsq

otherwise the fixed effects will be included, the degrees of freedom
will be huge, and the power of the test will be nil.

2.  Transform your data using the mean-deviations transformation (Ben
Jann's -center- is ideal for this), estimate using ivreg2, and then run
ivhettest.

The only catch here is that the degrees of freedom used for the test
statistics will be wrong, because they won't correct for degrees of
freedom eaten up by the fixed effects (see any standard textbook for
this general point).  But correcting the test stat by hand shouldn't be
too hard.  For example, the White/Koenker version of the test is an
N*R-sq test.  If you have M fixed effects, then the right test stat will
be (N-M)*R-sq.  So just take the N*R-sq stat, multiply by (N-M)/N and
there you go.

Hope this helps.

--Mark

> 
> Thanks,
> Ricardo
> 
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