Name
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).