Re: estat hettest: Breusch-Pagan Test

["Michael S. Hanson" <mshanson@wesleyan.edu>]

On Apr 3, 2006, at 11:41 AM, Schaffer, Mark E wrote:

> -ivhettest- also handles testing following -regress-.  Does it agree 
> with you or -hettest-?
Mark,

	Thanks for the suggestion.  Here are the results I get:

. ivhettest, nr2
OLS heteroskedasticity test(s) using levels of IVs only
Ho: Disturbance is homoskedastic
    White/Koenker nR2 test statistic    :   4.223  Chi-sq(3) P-value = 
0.2383

. ivhettest, bpg
OLS heteroskedasticity test(s) using levels of IVs only
Ho: Disturbance is homoskedastic
    Breusch-Pagan/Godfrey/Cook-Weisberg :  10.689  Chi-sq(3) P-value = 
0.0135

	That is, the first test (White/Koenker) reproduces the results I 
calculated (and that match Wooldridge) for the LM form of the test;  
the second test (Breusch-Pagan/Cook-Weisberg) reproduces the score form 
of the test that is also produced by -estat hettest-.


> > 	use "http://fmwww.bc.edu/ec-p/data/wooldridge/HPRICE1";, clear
> >
> > 	// Reproduce B-P test results in Wooldridge (2006, p.281)
> > 	reg lprice llotsize lsqrft bdrms
> > 	predict uhat, resid
> > 	gen uhatsq = uhat^2
> > 	reg uhatsq llotsize lsqrft bdrms
> > 	scalar LM = e(r2)*e(N)
> > 	scalar pvalue = chi2tail(e(df_m),LM)
> > 	disp "Breusch-Pagan test: LM = " LM ", p-value = " pvalue
> >
> > The output from this code is:
> >
> > 	Breusch-Pagan test : LM = 4.2232485, p-value = .23834455
> >
> > which matches the B-P test results as reported in Wooldridge (2006).
> > However, the -estat hettest- gives a very different answer:
> >
> > 	// Stata implementation of B-P test
> > 	reg lprice llotsize lsqrft bdrms
> > 	estat hettest, rhs
> >
> > yields:
> >
> > 	Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
> > 	         Ho: Constant variance
> > 	         Variables: llotsize lsqrft bdrms
> > 	
> > 	         chi2(3)      =    10.69
> > 	         Prob > chi2  =   0.0135
                                        -- Mike

*
*   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/