.- help for ^whitetst^ (STB-55: sg137) .- Calculate the White general test for heteroskedasticity after @regress@ ----------------------------------------------------------------------- ^whitetst^ [^if^ exp] [^in^ range] [, ^nos^ample] ^whitetst^ is for use after ^regress^; see help @regress@. Description ----------- ^whitetst^ computes the White (1980) general test for heteroskedasticity in the error distribution by regressing the squared residuals on all distinct regressors, cross-products, and squares of regressors. The test statistic, a Lagrange multiplier measure, is distributed Chi-squared(p) under the null hypothesis of homoskedasticity. See Greene (2000), pp. 507-511. It is a special case of the Breusch-Pagan test for heteroskedasticity, which requires specification of an auxiliary variable list. The command displays the test statistic, degrees of freedom and P-value, and places values in the return array. ^return list^ for details. By default the command will use the e(sample) defined in ^regress^ to define the observations over which the test is to be computed. This behavior may be overridden with the sample option. Options ------- ^nosample^ indicates that the test be performed on either all observations or all observations included in ^whitetst^'s ^if^ and ^in^ conditions if specified. By default, ^whitetst^ includes only observations from the estimation sample. Examples -------- . ^regress expen age own income inc2^ . ^whitetst^ References ---------- Greene, W. Econometric Analysis. 4th ed., 2000. New York: Prentice-Hall. White, H. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity." Econometrica, 48, 1980, 817-838. Authors ------- Christopher F Baum, Boston College, USA baum@@bc.edu Nicholas J. Cox, University of Durham, UK N.J.Cox@@durham.ac.uk Also see -------- STB: STB-55 sg137 Manual: ^[R] regress^, ^[R] regression diagnostics^ On-line: help for @regdiag@, @regress@, @bpagan@ (if installed)