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2. Answer: st: white test
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2. Answer: st: white test
Date
Fri, 19 Nov 2010 15:03:17 +0100
Hi,
in addition to my first answer:
There are two versions of the White Test: one including squares and
interactions and the other the fitted values of the left-hand-side
variable and its square (Wooldridge, Introductory Econometrics, 4. ed.:
274-276).
As far as I remember the hettest and imtest in Stata include both: The
default is the left-hand-side version but with the option rhs
(right-hand-side) the first version is used.
Matthias
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