Grocer Function
NAME
white0 - White's heteroskedasticity test
CALLING SEQUENCE
[f,f_pvalue,nvar2,r2]=white0(r,np)
PARAMETERS
Input
-
r = results tlist from a first stage estimation
-
np = 'noprint' if the user does not want to print the results
Output
-
f = value of the XiČ hetero F test
- f_pvalue = its p-value
-
nvar2 = # of exogenous variables of the White second stage regression
-
r2 = RČ of the auxilliary regression
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 as numbers and are not displayed on screen.
EXAMPLE
[f,f_pvalue,nvar2,r2]=white0(resulols)
This example is taken from function white. Useful mainly for programming purpose (since white does much more).
AUTHOR
Eric Dubois 2002