Re: st: RE: heteroskedasticity questions

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

At 11:02 AM 2/24/2007, Schaffer, Mark E wrote:
> One way to approach this that is easy to understand is to use
> -ivhettest-, which will handle OLS as a special case.
>
> esttat hettest
>
> gives you the same test stat as
>
> ivhettest, ivlev bpg
>
> which is the Breusch-Pagan-Godfrey-Cook-Weisberg version of the test
> that assumes normality and the indicator variables (so to speak, the
> directions in which you are looking for heteroskedasticity) are the
> regressors excluding the constant (here, x).
To clarify, that is true when there is only one x, but not when there 
is more than one.  More generally you can say

esttat hettest, rhs

gives you the same test stat as

ivhettest, ivlev bpg


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Richard Williams, Notre Dame Dept of Sociology
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