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st: heteroskedasticity questions
Here are a few questions that will betray my ignorance in some areas
of statistics...
-estat hettest- tests for a specific type of heteroskedasticity, i.e.
it tests whether the residual variances go up as yhat goes
up. However, there are other possible forms of hetero, e.g. error
variances go up as x gets more extreme in either direction, producing
an hourglass shape. This can be simulated via
set seed 123
set obs 200
corr2data x e
gen y = x + 2*abs(x)*e
scatter y x
reg y x
If you now type -estat hettest-, as expected, the test stat is
insignificant. However, how should you formally test for hetero in
this case? -estat imtest- does produce a significant chi-square; is
that just happy coincidence or is this a good all purpose test for
hetero? (Basically, what i am saying is I don't understand what
-estat imtest- does! I'm thinking it is a more general test than
hettest, but the generality can also cost it some power compared to
tests that are more specific.) Also, would it be appropriate to do
something like
gen xabs = abs(x)
estat hettest xabs
i.e. based on visual inspection (with data I had not made up) could I
try to construct a var that I thought reflected the hetero?
Finally, Goldfeldt-Quant and -estat hettest- seem to be testing
similar hypotheses. Goldfeldt-Quant is a little clunky to estimate,
though, so is there any reason I would prefer it over -hettest-? (I
actually asked this question 3 years ago, but I don't think I got a
definitive answer, or if I did I can't find it anymore).
Thanks for any ideas.
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME: (574)289-5227
EMAIL: [email protected]
WWW: http://www.nd.edu/~rwilliam
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