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Feb 11, 2020This command performs the Breusch-Pagan and Cook-Weisberg test for heteroskedasticity in a linear regression model. This command works off ...
The problem is not about the bias or consistency of the OLS estimates; the issue is that SEs are not correct in the presence of heteroskedasticity.
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Apr 3, 2006281], I noticed that the test conducted by -estat > hettest- returns ... whereas the previous hand-coded > version of the B-P test does not.
Jun 26, 2013I tried: estat hettest The output I get is "invalid subcommand hettest" Can someone please help me with this? * * For searches and help try: ...
Feb 20, 2017Although I can run hettest for the OLS version of the model which gives the same results ... But estat hettest can only be run after reg .
both default and robust estimates of the VCE are invalid. For time-series data, this is ... by using the estat hettest postestimation command.
This means that, if you do not correct for heteroskedasticity, the confidence intervals you construct as well as the test statistics you use to test ...
7 pages·178 KB
The normality assumption is dropped from the null hypothesis in the iid and fstat versions, which respectively produce score and F tests. If varlist is not ...
Missing: valid ‎| Must include: valid
Jan 10, 2020reason OLS is not optimal when heteroskedasticity is present is that ... estat hettest command (or, hettest alone will work). ... Valid 2 |.
16 pages·421 KB

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