KOENKER: Stata module to perform Koenker/White detailed test for heteroskedasticity

Christopher Baum

Statistical Software Components from Boston College Department of Economics

Abstract: koenker implements the Koenker/White N*R2 test for heteroskedasticity after regress. estat hettest with the mtest option is based on the Breusch-Pagan/Cook-Weisberg LM test, which has a null hypothesis of normality of the error distribution. The Koenker/White test relaxes this assumption, presuming that errors are i.i.d. under the null hypothesis. The test is executed separately for each regressor, and then for the entire regression. The simultaneous test is based on the full set of regressors.

Language: Stata
Requires: Stata version 12 and ivhettest from SSC (q.v.)
Keywords: heterokedasticity; Koenker; White; N^R2 (search for similar items in EconPapers)
Date: 2025-05-10
Note: This module should be installed from within Stata by typing "ssc install koenker". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/k/koenker.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/koenker.sthlp help file (text/plain)

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