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IVHETTEST: Stata module to perform Pagan-Hall and related heteroskedasticity tests after IV

Author

Listed:
  • Mark E Schaffer

    () (Heriot-Watt University)

Abstract

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).

Suggested Citation

  • Mark E Schaffer, 2002. "IVHETTEST: Stata module to perform Pagan-Hall and related heteroskedasticity tests after IV," Statistical Software Components S428801, Boston College Department of Economics, revised 16 Aug 2013.
  • Handle: RePEc:boc:bocode:s428801
    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.
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    File URL: http://fmwww.bc.edu/repec/bocode/i/ivhettest.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/i/ivhettest.hlp
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    Keywords

    instrumental variables; heteroskedasticity;

    Statistics

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