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

["Joanne Marshall" <jmarshall1982@hotmail.co.uk>]

thank you for the help, maarten.
do we look at the p values for the im test and bp test to determine hetero, 
and if we do, what p values are we looking for in order to determine that?

and also how can we undertake the type 1 error 5% test, i think i have seen 
this before, but never knew how to work it out!

thank you very much

regards
jo


> From: Maarten buis <maartenbuis@yahoo.co.uk>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: how to tell if there is heteroscedasticity, thanks!
> Date: Sat, 13 Jan 2007 16:24:56 +0000 (GMT)
>
> Jo:
> According to the im test you do not reject the null hypothesis of
> homoscedasticity, and according to the hettest you do. In general I am
> not a big fan of testing model assumptions prior to doing the tests you
> are really interested in. What you do in that case is perform a
> sequence of tests, each with a probability of a type I error of 5%, so
> the total probability of a type I error is not 5%. Furthermore some of
> these tests can be not powerful enough to detect problems, thus giving
> you a false sense of security. For diagnozing my model, I would go for
> graphs, e.g. -rvfplot-.
> Hope this helps,
> Maarten
>
> --- Joanne Marshall <jmarshall1982@hotmail.co.uk> wrote:
> > 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?
>
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
>
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
>
> +31 20 5986715
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
>
>
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