Xi² heteroskedasticity test
[f,f_pvalue,nvar2]=hetero_sq0(r,np)
* r = results tlist from a first stage estimation
* np = unused argument put for compatibility with other testing functions
* f = value of the Xi² hetero F test
* f_pvalue = its p-value
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'); //performs ols for Hendry and Ericsson (1991) equation 6 [f,f_pvalue,nvar2]=hetero_sq0(rols) // Useful mainly for programming purpose (since hetero_sq does much more). | ![]() | ![]() |