White's heteroskedasticity test
[resulwhite]=white(resulols,np)
* resulols = results tlist from a first stage estimation returns a tlist
* np = 'noprint' if the user does not want to display the results (optional argument!)
* resulwhite = a results tlist with:
- resulwhite('meth') = 'white'
- resultwhite('resul1st') = results tlist of the first stage regression
- resulwhite('f') = White statistic (Fisher form)
- resulwhite('p') = p-value of the test
- resulwhite('dfnum') = degrees of freedom of the numerator
- resulwhite('dfden') = degrees of freedom of the denominator
- resulwhite('f_pvalue') = p-value of the test
- resulwhite('chistat') = p-value of the test
- resulwhite('f_chistat') = 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'); r=white(rols) // This example stores in tlist r, and displays on screen, White's test on regression results stored in he. | ![]() | ![]() |