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Re: st: White test for heteroskedasticity: maxvar
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 <[email protected]>
Reply-To: [email protected]
To: [email protected]
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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