Re: st: How -ovtest- works?

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

At 07:04 PM 6/9/2004 +0200, Andreas Kuhn wrote:

> - ovtest - also includes the fourth power of yhat as a regressor. thus, 
> including yhat^4 in your regression should give the same result as ovtest.
That is part of the problem, but not all.  As the reference manual N-R 
points out, p. 381, the y-hat variable is normalized to have mean 0 and 
variance one before powers are taken.  So, try this:

. sysuse auto

. quietly reg price mpg weight foreign

. predict y
(option xb assumed; fitted values)

. quietly sum y

. replace y = (y - r(mean))/r(sd)
(74 real changes made)

. gen y2 = y^2

. gen y3 = y^3

. gen y4 = y^4

. quietly reg price mpg weight foreign y2 y3 y4

. test y2 y3 y4

 ( 1)  y2 = 0
 ( 2)  y3 = 0
 ( 3)  y4 = 0

       F(  3,    67) =   15.31
            Prob > F =    0.0000

.

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