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Re: st: Check heteroskedasticity after ivregress gmm

From   Jorge Eduardo Pérez Pérez <>
To   "" <>
Subject   Re: st: Check heteroskedasticity after ivregress gmm
Date   Mon, 24 Feb 2014 15:44:30 -0500

Why do you want to test for heteroskedasticity after using a robust
variance estimator?

If you implement a estimator that isn't robust to heteroskedasticity,
then it is a good idea to test for heteroskedasticity afterwards to
check whether your absence of heteroskedasticity assumption is
supported by the data.

But since you implemented a robust estimator, you are acknowledging
that there is heteroskedasticity. No point in performing a test of the
null of homoskedasticity against the alternative of heteroskedasticity
if you assumed heteroskedasticity in the beginning.

In other words, your workflow should be

* Estimate under homoskedasticity
ivreg2 y (endo = iv) X
* Test for heteroskedasticity

* If evidence of heteroskedasticity, then use robust estimator, with either
ivreg2 y (endo = iv) X, gmm robust
* Or
ivregress gmm y (endo = iv) X ,vce(hac nw opt)

Also notice that if you use the gmm option in -ivregress- the
resulting standard errors are robust by default.

Jorge Eduardo Pérez Pérez
Graduate Student
Department of Economics
Brown University

On Fri, Feb 21, 2014 at 11:56 PM, Aksorn Lueanyod <> wrote:
> Dear all,
> I am doing the estimation by using GMM with the robust Newey-West HAC variance
> Does anyone know the command to check heteroskedasticity after the command (STATA 12)
> ivregress gmm y (endo = iv) X ,vce(hac nw opt) ....(1)
> I know that the command "ivhettest" is work after ivreg2
> So, I try to replicate (1) by using
> ivreg2 y (endo = iv) X ,gmm robust bw(#) ... (2)
> "ivhettest" is work but I have to put # as a number that received from automatic lag choosing by Bartlett kernel  from (1)
> (I tried bw(#) as bw(auto), it didn't work)
> Please suggest the command to check heteroskedasticity for (1) or the command that (2) can choose automatic lag.
> Thank you in advance
> Best regards,
> Aksorn
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