Andreas,
Quoting [email protected]:
> I made for my data a "hettest" and a "whitetst" to control for
> heteroskedasticity. While the hettest affirm heteroskedasticity (Prob >
> chi2 = 0.0185) the whitetst assigns a p-Value of .6381. What does
> this mean? Is my sample heteroskedastic or homoskedastic? What's the
> null hypothesis of whitetst? If the null hypothesis is homoskedasticity
> there is a contradiction in the two test results, isn't it? What's the
> explanation for this?
> Thank you for your help!
> Andreas
hettest uses a version of the test that assumes normality; whitetst relaxes
this assumption. The null of the two tests is the same (homoskedastic
errors). A number of texts note the sensitivity of the former test to the
normality assumption and hence recommend the latter.
I'm assuming that the indicator variables hypothesised as related to the
heteroskedasticity were the same in the two tests you did. (If you're not
sure what I mean by this, have a look at -help ivhettest-, which does these
tests for OLS regressions plus others for IV regressions.)
Hope this helps.
--Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
________________________________________________________________
DISCLAIMER:
This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed. If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail. In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail. Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail. Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
