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st: how to tell if there is heteroscedasticity, thanks!


From   "Joanne Marshall" <[email protected]>
To   [email protected]
Subject   st: how to tell if there is heteroscedasticity, thanks!
Date   Sat, 13 Jan 2007 14:33:32 +0000

hi stata fellow,

i am trying to run a heteroskedasticity test for my regression here, using command

estat imtest (IM TEST)
estat hettest ( BREUSCH PAGAN)

and have got the following result:

Cameron & Trivedi's decomposition of IM-test

---------------------------------------------------
Source | chi2 df p
---------------------+-----------------------------
Heteroskedasticity | 167.27 155 0.2368
Skewness | 45.45 18 0.0004
Kurtosis | 9.72 1 0.0018
---------------------+-----------------------------
Total | 222.44 174 0.0077
---------------------------------------------------

.. estat hettest

Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of wage

chi2(1) = 191.17
Prob > chi2 = 0.0000


with the above information, how can i tell if my model is hetero or not then?
thanks.

regards
jo

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