White's heteroskedasticity test
[f,f_pvalue,nvar2,r2]=white0(r,np)
* r = results tlist from a first stage estimation
* np = 'noprint' if the user does not want to print the results
* f = value of the Xi² hetero F test
* f_pvalue = its p-value
* nvar2 = # of exogenous variables of the White second stage regression
* r2 = R² of the auxilliary regression
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). | ![]() | ![]() |