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Re: st: How to test heterokedasticity for 120 periods


From   Xixi Lin <winnielxx@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How to test heterokedasticity for 120 periods
Date   Wed, 20 Feb 2013 10:12:03 -0500

Thanks Roberto

On Wed, Feb 20, 2013 at 2:57 AM, Roberto Liebscher
<roberto.liebscher@ku.de> wrote:
> 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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