st: RE: heteroskedasticity question

["Al-Zakwani, Ibrahim" <IAl-Zakwani@healthcore.com>]

Do you mean <whitetst>?
findit whitetst will bring it up (see below)..
Ibrahim

STB-55  sg137 .  Tests for heteroskedasticity in regression error
distribution
        (help bpagan, whitetst if installed)  C. F. Baum, N. J. Cox & V.
Wiggins
        5/00    pp.15--17; STB Reprints Vol 10, pp.147--149
        commands for White's test and Breusch and Pagan's test for
        heteroskedasticity

 

-----Original Message-----
From: Stephen Schmidt [mailto:schmidsj@union.edu] 
Sent: Friday, February 13, 2004 1:43 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: heteroskedasticity question

I'm trying to use Stata 7 to perform White's test for heteroskedasticity
of unknown form. It appears to me from the help documents that Stata
does not have a command to automatically perform this test; is that
correct?

I'm performing it by generating squared residuals and squared
values of the independent variables. That is, given the original
regression

  y = b0 + b1*x1 + b2*x2 + e

I'm generating e-hat squared, calling it resid2, generating x1sq
and x2sq, and estimating

  resid2 = g0 + g1*x1 + g2*x1sq + g3*x2 + g4*x2sq + u

and then either taking the F-stat from the regression or calculating
N*R2 which has a chi-squared 4 distribution under the null of no
heteroskedasticity.

Question 1: Is this the best way to do this in Stata?

Question 2: I've also tried using the commands "hettest x1 x2"
and "hettest x1 x2 x1sq x2sq". They do not give the same answers,
not close. Can someone give a brief description of what hettest
does, or a citation to the original article? I'm familiar with
the Bruesch-Pagan-Godfrey test, but the Cook-Weisburg test which
is also known as the Breusch-Pagan test appears not to be the
same thing.

Question 3: I'm also interested in using White's robust standard
error formula. The documentation says that "regress y x1 x2, robust"
will use the "Huber/White/sandwich" standard error formula. Is that
the same thing, and if not, how do they differ?

Thanks in advance for assistance.

Steve Schmidt

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