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hetero_sq

Xi² heteroskedasticity test

CALLING SEQUENCE

[resulh]=hetero_sq(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

* 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

DESCRIPTION

Computes the value of the Xi² hetero test. Results are stored in a tlist and displayed on screen if the user has not given as second argument 'noprint'.

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');
// 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.

AUTHOR

Eric Dubois 2002

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