Dear Statalist,
Could you please advise me on the following matter:
I have to do a general (full) White heteroscedasticity test for my regression
with 9 variables. Number of unique variables (excluding constant) that should
be included in the regression of squared residuals on the cross-products of
x's is 39. When I manually run this auxiliary regression, Stata drops 2
variables. Resulting test statistic has Chi_2(37) distribtion. I get the same
result using whitetst command which I downloaded from the web. This command
relies on Stata's regress to keep only unique variables in the auxiliary
regression.
But when I use imtest, white , my test statistic is reported to have Chi_2(39)
distribution and it's value is slightly different from the one I obtain
manually.
So, my questions are: how does the imtest, white calculate the test statistic?
And how can I make Stata not to drop variables it finds collinear?
Thank you very much!
Olena Stavrunova
PhD student
Department of Economics
University of Iowa
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