Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: RE: white test
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: white test
Date
Thu, 18 Nov 2010 23:22:53 -0000
Rodrigo,
For (2), -ivhettest-, available from ssc in the usual way, will do heteroskedasticity tests for OLS and IV estimation and let you control what parts of the VCV are used in the test. You probably want the -ivsq- option, which includes only levels and squares.
Cheers,
Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Rodrigo Briceño
> Sent: 18 November 2010 22:05
> To: [email protected]
> Subject: st: white test
>
> Dear Stata users. I'm using Stata 9.2 and Windows XP.
>
> I'm running White heteroskedasticity tests, using imtest,
> white. My database is a panel with 324 bonds with 54 montlhy
> observations each.
> According with the definition of the test, it runs auxiliary
> regressions using the explanatory variables, their squares
> and interactions between them. My problem is that I have many
> dummies incorporated (11) and 4 additional explanatory variables.
>
> From my point of view the test must return an error, due to
> the insufficient quantity of observations available, but
> instead is producing some constant value (the number of
> observations) and an indentical p-value for all the regressions I ran.
>
> My two questions to the list are:
>
> 1. Is there an explanation about the generation of this
> constant value in this context?
>
> 2. I know that a simplified form of White test exists (no
> cross-terms options). Does anybody knows if Stata have it?
>
> Thanks for sharing your knowledge.
>
> --
> Rodrigo Briceño
> Economist
> [email protected]
> MSN: [email protected]
> SKYPE: rbriceno1087
>
> *
> * 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/
>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* 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/