[Gretl-users] Heteroskedasticity tests other than White's

[Amir Reza Khosroshahi]

Dear Allin,

I guess I got the point. Thank you so much for your advice.

Best,
Amir

On Thu, Mar 27, 2008 at 5:25 AM, Allin Cottrell <cottrell at wfu.edu> wrote:

> On Wed, 26 Mar 2008, Mariusz Doszy? wrote:
>
> > I doubt that the tests you are asking for are built in gretl,
> > but it's quite easy to apply them with using scripting. You need
> > just standard commands...
>
> Mariusz is right, these are not (yet) built-in commands, but since
> this is not the first time the Breusch-Pagan test has been
> requested, I've added it in CVS.  Goldfeld-Quandt is conceptually
> simple, but a little awkward to script since you have to sort all
> the observations by the value of the chosen Xi.  That can be done
> (see the "sortby" function) but it could be made easier (and will
> be, before long).
>
> In the meantime, here is an illustration of how you can do
> Breusch-Pagan:
>
> <gretlscript>
> # Variants on Breusch-Pagan test, simple example
>
> open data4-1
> list xlist = 2
> ols 1 0 xlist
> u2 = $uhat * $uhat
> ols u2 0 2 --quiet
> # White-type test statistic
> LM1 = $nrsq
>
> # Basic Breusch-Pagan (Econometrica, 1979)
> s2 = sum(u2)/$T
> g = u2/s2
> ols g 0 xlist --quiet
> gbar = mean(g)
> gdev = g - gbar
> TSS = sum(gdev*gdev)
> ESS = $ess
> # LM = one half of the explained sum of squares
> LM2 = .5*(TSS-$ess)
>
> # Koenker robust variant (Journal of Econometrics, 1981)
> V = (1/$T)*sum((u2 - s2)^2)
> g = u2 - s2
> ols g 0 xlist --quiet
> gbar = mean(g)
> gdev = g - gbar
> TSS = sum(gdev*gdev)
> ESS = $ess
> LM3 = (TSS-ESS)/V
>
> # compare the variants
> print LM1 LM2 LM3
>
> # shortcuts, new in gretl CVS
> ols 1 0 xlist --quiet
> lmtest --breusch
> lmtest --breusch --robust  # invokes Koenker
> </gretlscript>
>
> Allin Cottrell
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>



-- 
<signature>
Amir Reza Khosroshai
</signature>
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