-ivhettest- also handles testing following -regress-. Does it agree with you or �hettest-?
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Michael S. Hanson
> Sent: 03 April 2006 15:04
> To: [email protected]
> Subject: estat hettest: Breusch-Pagan Test
>
> When trying to replicate an example application of the
> Breusch-Pagan test for heteroskedasticity in Wooldridge
> (2006) ["Introductory Econometrics," 3rd edition, example
> 8.4, p. 281], I noticed that the test conducted by -estat
> hettest- returns very different values than that reported in
> Wooldridge. Indeed, I can reproduce the values reported by
> Wooldridge that indicate a non-rejection of the
> homoskedasticity null, whereas -estat hettest- indicates a
> fairly strong rejection. Here is the code:
>
> use "http://fmwww.bc.edu/ec-p/data/wooldridge/HPRICE1";, clear
>
> // Reproduce B-P test results in Wooldridge (2006, p.281)
> reg lprice llotsize lsqrft bdrms
> predict uhat, resid
> gen uhatsq = uhat^2
> reg uhatsq llotsize lsqrft bdrms
> scalar LM = e(r2)*e(N)
> scalar pvalue = chi2tail(e(df_m),LM)
> disp "Breusch-Pagan test: LM = " LM ", p-value = " pvalue
>
> The output from this code is:
>
> Breusch-Pagan test : LM = 4.2232485, p-value = .23834455
>
> which matches the B-P test results as reported in Wooldridge (2006).
> However, the -estat hettest- gives a very different answer:
>
> // Stata implementation of B-P test
> reg lprice llotsize lsqrft bdrms
> estat hettest, rhs
>
> yields:
>
> Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
> Ho: Constant variance
> Variables: llotsize lsqrft bdrms
>
> chi2(3) = 10.69
> Prob > chi2 = 0.0135
>
> Notice that this result implies rejection of the
> homoskedasticity null, whereas the previous hand-coded
> version of the B-P test does not.
>
> Can anyone comment on this difference? I believe the -rhs-
> option for -estat hettest- is the appropriate one here, but I
> could be mistaken.
> Also, the manual states that the implementation of the B-P
> test is based on a score test statistic, whereas Wooldridge
> uses a Lagrange Multiplier version of the test, which he
> attributes to Koenker (1981).
> Nonetheless, both tests have the same null and both
> statistics are distributed asymptotically as a chi-squared
> with 3 degrees of freedom.
> Thus, I am puzzled by the extreme difference in the reported
> results.
> Any comments that help resolve this issue would be appreciated.
> Thanks.
>
> -- Mike
>
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