*
* Heteroscedasticity tests on pages 212-215.
*
open data food.dat
data(format=free,org=columns) 1 40 food income
*
order(ranks=ranks) income
*
linreg(smpl=ranks<=20) food
# constant income
compute rsslow=%rss,ndflow=%ndf
linreg(smpl=ranks>20) food
# constant income
compute rsshigh=%rss,ndfhigh=%ndf
compute gqstat=(rsshigh/ndfhigh)/(rsslow/ndflow)
cdf(title="Goldfeld-Quandt Test based upon income") ftest gqstat ndfhigh ndflow
*
* Breusch-Pagan and White tests done through auxiliary regressions
*
linreg food
# constant income
set usq = %resids^2
linreg usq
# constant income
cdf(title="Breusch-Pagan heteroscedasticity test") chisqr %trsquared 1
set incsq = income^2
linreg usq
# constant income incsq
cdf(title="White heteroscedasticity test") chisqr %trsquared 2
*
* Same tests done using the RegWhiteTest procedure. With type=bp, it does the
* Breusch-Pagan test, and with type=full it does the White test. (There are
* several other options which can be used when there are many explanatory
* variables making the full set of interactions too large to handle).
*
linreg food
# constant income
@regwhitetest(type=bp)
@regwhitetest(type=full)