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hwhite

White's adjusted heteroscedastic estimation

CALLING SEQUENCE

[rhwhite]=hwhite(namey,arg1,...,argn)

PARAMETERS

Input

* namey = a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes

* arg1 to argn = arguments which can be:

  - a time series

  - a real (nx1) vector

  - a real (nxk) matrix

  - a string equal to the name of a time series or a (nxk) real vector or matrix between quotes

  - a list of such elements

  - the string 'noprint' if the user doesn't want to display the results of the regression

 

Output

* rhwhite = a tlist with

  - rhwhite('meth') = 'White''s heteroskedasticity consistent'

  -rhwhite('y') = y data vector

  -rhwhite('x') = x data matrix

  -rhwhite('nobs') = nobs

  -rhwhite('nvar') = nvars

  -rhwhite('beta') = bhat

  -rhwhite('yhat') = yhat

  -rhwhite('resid') = residuals

  -rhwhite('vcovar') = estimated variance-covariance matrix of beta

  -rhwhite('sige') = estimated variance of the residuals

  -rhwhite('sige') = estimated variance of the residuals

  -rhwhite('ser') = standard error of the regression

  -rhwhite('tstat') = t-stats

  -rhwhite('pvalue') = pvalue of the betas

  -rhwhite('dw') = Durbin-Watson Statistic

  -rhwhite('prescte') = boolean indicating the presence or absence of a constant in the regression

  -rhwhite('rsqr') = rsquared

  -rhwhite('rbar') = rbar-squared

  -rhwhite('f') = F-stat for the nullity of coefficients other than the constant

  -rhwhite('pvaluef') = its significance level

  -rhwhite('prescte') = boolean indicating the presence or absence of a time series in the regression

  -rhwhite('namey') = name of the y variable

  -rhwhite('namex') = name of the x variables

  -rhwhite('bounds') = if there is a timeseries in the regression, the bounds of the regression

DESCRIPTION

Computes White's adjusted heteroscedastic consistent Least-squares Regression. If the user has not given the argument 'noprint', displays on screen the results of the regression and various diagnostics References: H. White 1980, Econometrica Vol. 48 pp. 818-838.

EXAMPLE

load(GROCERDIR+'/data/bdhenderic.dat');
hwhite('del(lm1-lp)','del(lp)','del(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte')
 
// example taken from hwhite_d: provides White's adjusted heteroscedastic consistent Least-squares Regression
// for Hendry and Ericsson (1991) equation 6 (results not presented by the authors).

AUTHOR

Eric Dubois 2002

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