G. E. P. Box.
Non-normality and tests on variances.
Biometrika 1953 40: 318-335; doi:10.1093/biomet/40.3-4.318
Nick
[email protected]
Lachenbruch, Peter
Generally, testing for heteroscedasticity is fraught with danger: in
particular something like Bartlett's test depends on normality so that a
rejection may be as much a function of non-normality as it is of unequal
variances.
George Box once wrote (around 1952, but don't rely on my memory)
"Testing for heteroscedasticity is like putting to sea in a rowboat to
see if it's safe for the Queen Mary to sail."
[email protected]
I am working with a probit model and I suspect heteroscedasticity.
Before using the command -hetprob-, I would like to perform the
Davidson and MacKinnon test for heteroscedasticity in probit models
(Reference: Estimation and inference in Econometrics, 1993, Davidson
and MacKinnon). Does such a test already exist in Stata? If this is
not the case, how can I compute it?
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
