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st: Using ivhettest to test for heterogeneity


From   andreas.zweifel@uzh.ch
To   statalist@hsphsun2.harvard.edu
Subject   st: Using ivhettest to test for heterogeneity
Date   Fri, 24 Feb 2012 21:13:38 +0100

Dear Statalist users, 
 
I am concerned with using White's general heteroskedasticity test when running an instrumental
variables regression. There is an option "nr2" which can be used with -ivhettest- after the -ivreg2-
command that displays the White-Koenker test statistic. However, when I run the first-stage
regression manually and use the command "imtest, white", I get a very different value for the
test statistic.
 
The help file for -ivhettest- claims that this command can also be used for OLS regressions. But
why do the -ivhettest- and -imtest- commands yield different test statistics? Is the -ivhettest-
a combined heteroskedasticity test that is computed from individual test statistics of the first-stage
and reduced form regression in the case of 2SLS?
 
Any help would be greatly appreciated!
 
Andreas Zweifel
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