An updated version (1.4) of my -ivhettest- is now available from SSC
archives.
-ivhettest- performs various flavors of Pagan and Hall's (1983) tests
for heteroskedasticity following instrumental variables (IV)
estimation with -ivreg- or -ivreg2-.
The only change is to the default choice of indicator variables.
This is now the set of instruments in levels (excluding the
constant). The previous default was to the full set of levels,
squares and cross-products a la White, but the numbers of indicator
variables could rapidly get out of hand and was catching some users
unawares.
Cheers,
Mark
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Abstract:
ivhettest performs various flavors of Pagan and Hall's (1983)
tests of heteroskedasticity for instrumental variables (IV)
estimation. It will also perform the related standard
heteroskedasticity tests of Breusch-Pagan, Godfrey,
Cook-Weisberg, White and Koenker after estimation by OLS or IV.
These are tests of whether there is heteroskedasticity in the
estimated regression that is related to one or more indicator
variables. The test flavors vary according to the choice of
indicator variables and the choice of test statistics. Under
the null of no heteroskedasticity, the test statistic is
distributed as chi-sq with degrees of freedom = number of
indicator variables. This is version 1.4 of ivhettest, updated
from that published in Stata Journal, 3(1).
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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