Grocer Function

NAME

hwhite - White's adjusted heteroscedastic estimation

CALLING SEQUENCE

[rhwhite]=hwhite(namey,arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Computes White's adjusted heteroscedastic consistent Least-squares Regression. If the user has not given the argument 'noprint', displays on screen the results of the regression and various diagnostics References: H. White 1980, Econometrica Vol. 48 pp. 818-838.

EXAMPLE

hwhite('del(lm1-lp)','del(lp)','del(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte')

This example, taken from hwhite_d, provides White's adjusted heteroscedastic consistent Least-squares Regression for Hendry and Ericsson (1991) equation n° 6 (results not presented by the authors).

AUTHOR

Eric Dubois 2002