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st: estat hettest

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: estat hettest
Date   Tue, 4 Apr 2006 07:36:57 -0400

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

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