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Re: st: RE: Goldfeldt-Quant versus -hettest-

From   Ernest Berkhout <[email protected]>
To   [email protected], [email protected], <[email protected]>
Subject   Re: st: RE: Goldfeldt-Quant versus -hettest-
Date   Wed, 04 Feb 2004 12:09:23 +0100

At 04:54 04/02/2004, Richard Williams wrote:
Also, some of the examples did show how to use Stata to do the calculations for you, but I think this is one of those cases where it may be easier just to do it on a calculator.
Effectively, I find it not so difficult to let Stata do the calculations. Advantage is that it does it for several groups and several variables within a foreach-loop. The trick is to refer directly to the scalars e(rss) and e(df_r). A possible setup to perform the GQ-test for a variable named "ophoogf2" would be:
egen group = cut(ophoogf2), group(3)
tabstat ophoogf2 , s(mean min max) by(group)

foreach group of num 0 2 {
quiet xi: reg lnloon $rhsvars_xi if group==`group'
scalar ee_oph_`group' = e(rss)
scalar df_oph_`group' = e(df_r)
scalar GQ_oph = max(ee_oph_0,ee_oph_2)/min(ee_oph_0,ee_oph_2)
scalar dir GQ*

But then, I still have to agree with Nick Cox' earlier argument that only looking at the p-value is not enough, one might first take a look at residuals & outliers.

Ernest Berkhout
SEO Amsterdam Economics
University of Amsterdam

Room 3.08
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tel.:+ 31 20 525 1657
fax:+ 31 20 525 1686
A statistician: someone who insists
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