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MSS: Stata module to perform heteroskedasticity test for quantile and OLS regressions

José António Machado and João Santos Silva ()

Statistical Software Components from Boston College Department of Economics

Abstract: mss computes the Machado-Santos Silva (2000, Glejser's Test Revisited, Journal of Econometrics, 97, 189-202 ) heteroskedasticity test for quantile and OLS regressions.

Language: Stata
Requires: Stata version 11.1
Keywords: OLS; quantile regression; heteroskedasticity (search for similar items in EconPapers)
Date: 2011-11-28, Revised 2012-05-01
Note: This module should be installed from within Stata by typing "ssc install mss". Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/mss.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mss.sthlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s457370

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