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Re: st: Re: Problems with -hetgrot-

From   Richard Williams <[email protected]>
To   [email protected]
Subject   Re: st: Re: Problems with -hetgrot-
Date   Mon, 15 Mar 2004 08:14:41 -0500

At 07:38 PM 3/14/2004 -0500, Richard Williams wrote:

Here is an alternative approach that finally seems to get the test statistic right. It involves a chi-square contrast of the restricted homoskedastic model and an unrestricted heteroscedastic model. I am again using Greene's data in table 15.1, 4th edition.
Incidentally, it turns out that Greene's data is also available from Stata:

. use

Var names are different and year is coded 1-20 instead of 1935-1954. This might come in handy for anyone who wants to replicate known results. Particularly with user-written routines, or with routines you're not 100% sure how to use, I think it is handy to have something with known answers so you can see if you are doing it right (or at least getting the same answers as others have.)

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