HDHETTEST: Stata module to compute heteroskedasticity tests with exact Monte Carlo p-values for linear regressions with many regressors

Yusuf Yusuf

Statistical Software Components from Boston College Department of Economics

Abstract: The Breusch-Pagan and White tests rely on asymptotics with a fixed number of regressors p. When p is a sizeable fraction of n, as with many indicator variables or fixed effects, they lose their nominal size (the Koenker version of the Breusch-Pagan test becomes very conservative) and the White test cannot be computed.

Language: Stata
Requires: Stata version 14
Keywords: heteroskedasticity; tests; Bruesch-Pagan; White (search for similar items in EconPapers)
Date: 2026-11-10
Note: This module should be installed from within Stata by typing "ssc install hdhettest". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/h/hdhettest.ado
http://fmwww.bc.edu/repec/bocode/h/hdhettest.sthlp
http://fmwww.bc.edu/repec/bocode/h/hdhettest_example.do
http://fmwww.bc.edu/repec/bocode/_/_hdhettest_display.ado
http://fmwww.bc.edu/repec/bocode/_/_hdhettest_load.ado
http://fmwww.bc.edu/repec/bocode/_/_hdhettest_mata.ado

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