WHITETST: Stata module to perform White's test for heteroskedasticity

Christopher Baum () and Nicholas Cox ()

Statistical Software Components from Boston College Department of Economics

Abstract: whitetst computes White's test for heteroskedasticity following regress or cnsreg. This test is a special case of the Breusch-Pagan test (q.v. bpagan). The White test does not require specification of a list of variables, as that list is constructed from the regressor list. Alternatively, whitetst can perform a specialized form of the test which economizes on degrees of freedom. This is version 1.2.3 of the software, revised from that published in STB-55.

Language: Stata
Requires: Stata version 6.0
Keywords: residual diagnostics; heteroskedasticity (search for similar items in EconPapers)
Date: 1999-09-19, Revised 2002-02-18
Note: This module may be installed from within Stata by typing "ssc install whitetst, replace". Windows users should not attempt to download these files with a web browser.

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

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s390601

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