Calculate the White test for heteroskedasticity after @regress@ -------------------------------------------------------------
^whitetst^ [if] [in] [, noSample Fitted]
^whitetst^ is for use after ^regress^ or ^cnsreg^; see help @regress@ or help @cnsreg@.
Description -----------
^whitetst^ computes the White (1980) general test for heteroskedasticity in the error distribution by regressing the squared residuals on all distinct regressors, cross-products, and squares of regressors. The test statistic, a Lagrange multiplier measure, is distributed Chi-squared(p) under the null hypothesis of homoskedasticity. See Greene (2000), pp. 507-511. It is a special case of the Breusch-Pagan test for heteroskedasticity, which requires specification of an auxiliary variable list.
Alternatively, a special form of the test, described by Wooldridge (2000, pp. 259-260), may be employed by specifying the ^fitted^ option. In this form, the predicted values from the original regression and their squares are used in place of the individual regressors, their squares, and their cross-products. This form of the test imposes constraints on the auxiliary regression, but may be a very attractive alternative if the original regressor list is lengthy.
The command displays the Lagrange multiplier test statistic, degrees of freedom and P-value, and places values in the return array. ^return list^ for details.
By default the command will use the e(sample) defined in ^regress^ to define the observations over which the test is to be computed. This behavior may be overridden with the sample option.
Examples --------
. ^use http://fmwww.bc.edu/ec-p/data/wooldridge/HPRICE1^ . ^reg lprice llotsize lsqrft bdrms^ . ^whitetst^ . ^whitetst, fitted^
References ----------
Greene, W. Econometric Analysis. 4th ed., 2000. New York: Prentice-Hall.
White, H. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity." Econometrica, 48, 1980, 817-838.
Wooldridge, J. Introductory Econometrics: A Modern Approach. 1st ed., 2000. New York: South-Western College Publishing.
Authors -------
Christopher F Baum, Boston College, USA baum@@bc.edu
Nicholas J. Cox, University of Durham, UK N.J.Cox@@durham.ac.uk
Also see --------
Manual: ^[R] regress^, ^[R] regression diagnostics^, ^[R] cnsreg^ On-line: help for @regdiag@, @regress@, @cnsreg@, @bpagan@ (if installed)