Re: st: re: heteroskedasticity questions

[Richard Williams <Richard.A.Williams.5@ND.edu>]

At 12:04 PM 2/24/2007, Kit Baum wrote:
> With the white option it is. The White test is just a special case of
> Breusch-Pagan with a particular choice of -varlist-. -imtest- without
> the -white- option is a broader test, due to Cameron and Trivedi,
> which examines 2d-4th moments of the error distribution as I
> understand it. White, Breusch-Pagan, -robvar-, Goldfled-Quandt all
> just consider 2d moment.
Thanks.  I was just wondering about that.  Stata's help says "White's 
test is usually very similar to the     first term of the 
Cameron-Trivedi decomposition."  So far though, I haven't come across 
any instances where the White test and the first term of CT were not 
identical, so I wonder when and if the difference is ever important.



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Richard Williams, Notre Dame Dept of Sociology
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