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hetero_sq0

Xi² heteroskedasticity test

CALLING SEQUENCE

[f,f_pvalue,nvar2]=hetero_sq0(r,np)

PARAMETERS

Input

* r = results tlist from a first stage estimation

* np = unused argument put for compatibility with other testing functions

 

Output

* f = value of the Xi² hetero F test

* f_pvalue = its p-value

DESCRIPTION

Computes the value of the Xi² hetero test. 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');
//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).

AUTHOR

Eric Dubois 2002

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