Xi² heteroskedasticity test
[resulh]=hetero_sq(r,np)
* r = results tlist from a first stage estimation
* np = 'noprint' if the user does not want to print the results
* resulh = a results tlist with:
- resulth('meth') = 'hagan'
- resulth('resul1st') = results tlist of the first stage regression
- resulth('f') = Xi² Hetero statistics
- resulth('p') = p-value of the test
- resulth('dfnum') = degrees of freedom of the numerator
- resulth('dfden') = degrees of freedom of the denominator
- resulth('f_pvalue) = p-value of the test
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 hetero_sq(rols) // Example taken from function hendryericsson. The example provides the Xi² heteroskedasticity test // for Hendry and Ericsson equation # 6, whose results have been stored in tlist rols. | ![]() | ![]() |