IVHETTEST: Stata module to perform Pagan-Hall and related heteroskedasticity tests after IV
ivhettest performs various flavors of Pagan and Hall's (1983) tests of heteroskedasticity for instrumental variables (IV) estimation. It will also perform the related standard heteroskedasticity tests of Breusch-Pagan, Godfrey, Cook-Weisberg, White and Koenker after estimation by OLS or IV. These are tests of whether there is heteroskedasticity in the estimated regression that is related to one or more indicator variables. The test flavors vary according to the choice of indicator variables and the choice of test statistics. Under the null of no heteroskedasticity, the test statistic is distributed as chi-sq with degrees of freedom = number of indicator variables. This is version 1.1.9 of ivhettest, updated from that published in Stata Journal, 3(1).
|Requires:||Stata version 7.0|
|Date of creation:||20 Oct 2002|
|Date of revision:||16 Aug 2013|
|Note:||This module may be installed from within Stata by typing "ssc install ivhettest". Windows users should not attempt to download these files with a web browser.|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
|Order Information:||Web: http://repec.org/docs/ssc.php|
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