Re: st: White test for heteroskedasticity: maxvar

["Gauri Khanna" <gwkhanna@hotmail.com>]

Dear Rudy,

Thank you for the suggestion. Will try it. I also performed an hettest as an 
alternative which did not run into this problem of too many variables.


Gauri



> From: Rudy Fichtenbaum <rudy.fichtenbaum@wright.edu>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: White test for heteroskedasticity: maxvar
> Date: Thu, 17 Aug 2006 08:05:16 -0400
>
> Gauri,
>
> You might also consider running the special case of White's test suggested 
> by Wooldridge. He suggests regressing uhat squared (the squared residual) 
> on yhat and yhat squared (the predicted value from an ols regression and 
> the predictied value squared). The predicted value and the predicted value 
> squared are functions of all of your independent variables. This amounts to 
> imposing some restrictions on the function that contains all of the 
> original independent variables, the independent variables squared and the 
> cross products. You can calculate the LM statistic by taking n times the R 
> square from the equation above which has a chi square distribution with two 
> degrees of freedom.
>
> Rudy
>
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