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white heterosced. test: manually and using imtest, white

From   Olena Stavrunova <[email protected]>
To   [email protected]
Subject   white heterosced. test: manually and using imtest, white
Date   Fri, 13 Feb 2004 15:51:21 -0600

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 
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 
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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