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KOENKER: Stata module to perform Koenker/White detailed test for heteroskedasticity

Author

Listed:
  • Kit Baum

    (Boston College)

Programming Language

Stata

Abstract

koenker implements the Koenker/White N*R2 test for heteroskedasticity after regress. estat hettest with the mtest option is based on the Breusch-Pagan/Cook-Weisberg LM test, which has a null hypothesis of normality of the error distribution. The Koenker/White test relaxes this assumption, presuming that errors are i.i.d. under the null hypothesis. The test is executed separately for each regressor, and then for the entire regression. The simultaneous test is based on the full set of regressors.

Suggested Citation

  • Kit Baum, 2025. "KOENKER: Stata module to perform Koenker/White detailed test for heteroskedasticity," Statistical Software Components S459453, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459453
    Note: This module should be installed from within Stata by typing "ssc install koenker". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/k/koenker.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/k/koenker.sthlp
    File Function: help file
    Download Restriction: no
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    More about this item

    Keywords

    heterokedasticity; Koenker; White; N^R2; Stata;
    All these keywords.

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