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Re: st: How to test heterokedasticity for 120 periods


From   Roberto Liebscher <roberto.liebscher@ku.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to test heterokedasticity for 120 periods
Date   Wed, 20 Feb 2013 08:57:49 +0100

Hi Xixi,

although I do not know exactly but why are you testing for heteroskedasticity for each period separately (Is it appropriate in your case to estimate your model for each period subsample seperately?) you could loop over the regressions using a command like this

forval i = num1/num2 {
quietly reg depvar indepvar if period == `i'
quietly estat hettest
display "Period " "`i'"
display `r(p)'
}

If you want to conduct an ANOVA for the period groups this link might be helpful:
http://www.stata.com/capabilities/anova-ancova/

Best,
Roberto

--
Roberto Liebscher
Catholic University of Eichstaett-Ingolstadt
Department of Business Administration
Chair of Banking and Finance
Auf der Schanz 49
D-85049 Ingolstadt
Germany

Am 20.02.2013 01:01, schrieb Xixi Lin:
Hi,

I am trying to test test heterokedasticity for 120 periods. I randomly
tested for 3 periods, using white tests, and the result shows it is
homokedasticity. But I want to make sure that all 120 periods are
homokedasticity. Does anyone knows how to write a loop to test it? As
a result, I hope it tells me which period or if any periods are not
homokedasticity.

Thanks a lot.

Best,
Xixi Lin
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