Many thanks to Richard and Andreas.
I understand how -ovtest- is working. I should have read the manual
carefully.
But I have still one question.
Why does Stata normalize the y-hat variable before powers are taken?
(Reference N-R p.381)
And why does it change the outcome, that is, the F statistic?
I don't think a normalization of regressors change F statistic.
I'm out of town and don't have access to the manuals, but you'd probably
have to read the original sources anyway. However, I believe that, if
powers were taken and the vars then normalized, the normalization would
produce the same result as when the vars weren't normalized. But, that is
different than normalizing and then taking powers.
