white Econometric tests and diagnostics Unit roots and cointegration

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white0

White's heteroskedasticity test

CALLING SEQUENCE

[f,f_pvalue,nvar2,r2]=white0(r,np)

PARAMETERS

Input

• r = results tlist from a first stage estimation

• np = 'noprint' if the user does not want to print the results

Output

• f = value of the Xiª hetero F test

• f_pvalue = its p-value

• nvar2 = # of exogenous variables of the White second stage regression

• r2 = Rª of the auxilliary regression

DESCRIPTION

Computes the value of White's heteroskedasticity test (see White, H. (1980) "A heteroskedastic-consistent covariance matrix estimator and a direct test for heteroskedasticity", Econometrica, 48, 817-838). Results are stored as numbers and are not displayed on screen.

EXAMPLE

load(GROCERDIR+'data/bdhenderic.dat');
bounds('1964q3','1989q2');
rols=ols('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet', 'lagts(1,lm1-lp-ly)', 'const');
[f,f_pvalue,nvar2,r2]=white0(rols)
 
// Useful mainly for programming purpose (since white does much more).

AUTHOR

Eric Dubois 2002
white Econometric tests and diagnostics Unit roots and cointegration