help mss 

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Title

       mss --  Heteroskedasticity test for quantile or OLS regressions

Syntax


        mss [,varlist]

    mss allows fweights; see weight.



Description

    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).


Remarks

    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 jmcss@essex.ac.uk. 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.



Examples

    ---------------------------------------------------------------------------
    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


References

    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.