Grocer Function
NAME
white - White's heteroskedasticity test
CALLING SEQUENCE
[resulwhite]=white(resulols,np)
PARAMETERS
Input
-
resulols = results tlist from a first stage estimation returns a tlist
-
np = 'noprint' if the user does not want to display the results (optional argument!)
Output
-
resulwhite = a results tlist with:
- resulwhite('meth') = 'white'
- resultwhite('resul1st') = results tlist of the first stage regression
- resulwhite('f') = White statistic (Fisher form)
- resulwhite('p') = p-value of the test
- resulwhite('dfnum') = degrees of freedom of the numerator
- resulwhite('dfden') = degrees of freedom of the denominator
- resulwhite('f_pvalue') = p-value of the test
- resulwhite('chistat') = p-value of the test
- resulwhite('f_chistat') = p-value of the test
DESCRIPTION
Computes the value of White's heteroskedasticity test (see White, H. (1980) "A heteroskedastic-consistent covariance matrix estimator and a direct test for heteroskedasticity", Econometrica, 48, 817-838). Results are stored in a tlist and displayed on screen if the user has not given as second argument 'noprint'.
EXAMPLE
r=white(he)
This example stores in tlist r, and displays on screen, White's test on regression results stored in he.
AUTHOR
Eric Dubois 2002