st: estat hettest

[Kit Baum <baum@bc.edu>]

estat hettest agrees with the 1999  implementation of bpagan (findit  
bpagan) of Baum and Wiggins, published in the STB. Wooldridge is  
using the White/Koenker version of the statistic. As Mark Schaffer  
suggests, ivhettest solves the mystery:

. ivhettest,all
OLS heteroskedasticity test(s) using levels of IVs only
Ho: Disturbance is homoskedastic
    White/Koenker nR2 test statistic    :   4.223  Chi-sq(3) P-value  
= 0.2383
    Breusch-Pagan/Godfrey/Cook-Weisberg :  10.689  Chi-sq(3) P-value  
= 0.0135

The prior stat is that produced by Wooldridge. The latter stat is  
that produced by estat hettest and bpagan. Greene's argument is that  
the latter stat may not be that reliable.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


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