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

Sven Schreiber svetosch at gmx.net
Thu Jun 18 08:36:26 EDT 2009


Henrique schrieb:

> 
So, if we have a model with just one
> non-constant regressor,
> like this:
> 
> EQUATION 4:     Y = const + beta_1*X1 + u
> 
> In that case I think it's impossible to perform "White's test for
> heteroskedasticity" because
> in that test we need the cross-product term.
> 

Well I don't think there is a universal convention about the default way
of this test, with or without cross terms. Put differently, I think it's
perfectly legitimate to refer to the test w/o cross terms as "the White
test" (without the additional clarifier) as well.

Of course, to make things clearer, one could add the label "with cross
terms" to that version of the test, just as the other version carries
the label "squares only".

Allin's solution to make gretl even clever about this is already almost
a luxury IMHO and not strictly necessary, but I certainly don't have
anything against it :-)

Now even if I sound like Jack, if a user has a model with just one
regressor and is confused that "with cross terms" and "squares only"
coincide in that special case, I wonder if he should be doing that kind
of research. But I guess gretl should be user-friendlier than the way I
just sounded, so no offense please!

cheers,
sven


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