--- aapdm <[email protected]> wrote:
> The reason why I was asking about how to check for
> heteroskedasticity is the following. In a recent
> paper, Santos Silva and Tenreyro (2007) show that
> "under heteroskedasticity, the parameters of
> log-linearized models estimated by OLS lead to biased
> estimates of the true elasticities". They show that
> the Poisson estimator is more appropriate.
>
> I am estimating a model similar to a gravity equation
> of trade, where the dependent and independent
> variables are in logs and the data are time series
> cross-sectional. I wanted to check that
> heteroskedasticity is indeed present in order to
> justify the use of the Poisson estimator instead.
What about just looking at the residuals?
*--------------- begin example ------------------
webuse nlswork
generate age2 = age^2
generate ttl_exp2 = ttl_exp^2
generate tenure2 = tenure^2
generate byte black = race==2
xtset idcode
xtreg ln_w grade age* ttl_exp* tenure* black not_smsa south, fe
predict resid, e
predict yhat , xbu
twoway scatter resid yhat
*---------------- end example -------------------
-- Maarten
-----------------------------------------
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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