[Gretl-users] White's test for heteroskedasticity (GUI)

Allin Cottrell cottrell at wfu.edu
Wed Jun 17 23:18:41 EDT 2009


On Wed, 17 Jun 2009, Sven Schreiber wrote:

> Henrique schrieb:
> >       When I try to perform a "White's test for
> > heteroskedasticity" on OLS models with only one term (x = b0 +
> > b1y) Gretl shows me only the "White's test for
> > heteroskedasticity (squared only)".

> I don't quite see why the current behavior would be confusing. But maybe
> I didn't understand what you expected instead.

My original thought on reading Henrique's message was this: if you
have estimated a model with only one non-constant regressor, then
cross-products are not applicable, so it might be confusing to
be faced with a choice of two versions of White's test (regular,
and "squares only"), as in the Tests menu in the model window.

My solution was to disable the "squares only" option in this case
since it is redundant.

But looking again at the bit of Henrique's message quoted above,
I'm not so sure: he says, "Gretl shows me _only_ the "White's test
for heteroskedasticity (squared only)" [emphasis added]. I thought
the 'problem' was that both variants of White's test were shown in
the menu.

Henrique?

Allin Cottrell


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