help mss 



mss -- Heteroskedasticity test for quantile or OLS regressions


mss [,varlist]

mss allows fweights; see weight.


mss computes the Machado-Santos Silva (2000) test for heteroskedasticity. This test is valid after quantile regression estimation and by default the test variables are the fitted values of the dependent variable and its squares as in the "Special case of the White test"; see Wooldridge (2009, p. 276). Alternative sets of test variables can be specified with varlist. The test is also valid after OLS regressions (see Im, 2000, and Machado and Santos Silva, 2000).


mss was written by By J.A.F. Machado and J.M.C. Santos Silva and it is not an official Stata command. For further help and support, please contact Please notice that this software is provided as is, without warranty of any kind, express or implied, including but not limited to the warranties of merchantability, fitness for a particular purpose and noninfringement. In no event shall the author be liable for any claim, damages or other liability, whether in an action of contract, tort or otherwise, arising from, out of or in connection with the software or the use or other dealings in the software.


--------------------------------------------------------------------------- Setup . sysuse auto

MSS test after median regression . qreg price weight length foreign . mss

MSS test after 0.25 quantile regression using the regressors as test variables . qreg price weight length foreign, quantile(.25) . mss weight length foreign

MSS test after OLS regression . reg price weight length foreign . mss


Saved results

mss saves the following in r():

r(mss_chi2) MSS test statistic r(mss_df) degrees of freedom of the MSS test r(mss_p) p-value of the MSS test


Im, K.S. (2000), Robustifying the Glejser test of heteroskedasticity. Journal of Econometrics 97(1), 179-188. Machado, J.A.F. and Santos Silva, J.M.C. (2000), Glejser's Test Revisited, Journal of Econometrics, 97(1), 189-202. Wooldridge, J.M. (2009), Introductory Econometrics, 4th edition, Mason (OH): South Western.