*! version 1.5 5sep2011
help mss

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.