Re: st: Heteroskedasticity Test in svy

[Stas Kolenikov <skolenik@gmail.com>]

On Thu, Mar 17, 2011 at 8:18 AM, R G <rghertner@yahoo.com> wrote:
> I'm using Stata's svy commands, and am trying to figure out if there is an
> equivalent to imtest, White to do a heteroskedasticity test (besides plotting
> residuals and variables).

It does not make sense in the context of design-based inference
paradigm. There are no information matrices to talk about, and
variance estimators are generalizations of White's
heteroskedasticity-robust estimators, i.e., correct for
heteroskedasticity already. If you want to pursue small gains in
efficiency by modeling variance of the residuals, you can try to do
that, but you run into risk of misspecifying the variance model which
would only make things worse.

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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