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WHITETST: Stata module to perform White's test for heteroskedasticity

Author

Listed:
  • Christopher F Baum

    () (Boston College)

  • Nicholas J. Cox

    () (University of Durham)

Abstract

whitetst computes White's test for heteroskedasticity following regress or cnsreg. This test is a special case of the Breusch-Pagan test (q.v. bpagan). The White test does not require specification of a list of variables, as that list is constructed from the regressor list. Alternatively, whitetst can perform a specialized form of the test which economizes on degrees of freedom. This is version 1.2.3 of the software, revised from that published in STB-55.

Suggested Citation

  • Christopher F Baum & Nicholas J. Cox, 1999. "WHITETST: Stata module to perform White's test for heteroskedasticity," Statistical Software Components S390601, Boston College Department of Economics, revised 18 Feb 2002.
  • Handle: RePEc:boc:bocode:s390601 Note: This module may be installed from within Stata by typing "ssc install whitetst, replace". Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/w/whitetst.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/w/whitetst.hlp
    File Function: help file
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    More about this item

    Keywords

    residual diagnostics; heteroskedasticity;

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