WHITE: Stata module to perform White's test for heteroscedasticity

Jeroen Weesie ()

Statistical Software Components from Boston College Department of Economics

Abstract: htest, szroeter, and white provide tests for the assumption of the linear regression model that the residuals e are homoscedastic, i.e., have constant variance. The tests differ with respect to the specification of residual variances under the alternative hypothesis. white considers the general (unrestricted) alternative hypothesis in which no assumptions is made on the residual variances (White 1980). szroeter considers the alternative hypothesis that the residual variances are monotonically increasing in some variable (Szroeter 1978). htest performs standard score tests for H: b=0 for two parametric forms of heteroscedasticity: multiplicative heteroscedasticity and random coefficient heteroscedasticity (REF). Warning: these modules are a work in progress. Note: the modules htest and szroeter are not currently available from IDEAS.

Language: Stata
Date: 1997-09-08

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/w/white.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/white.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s319401

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