[Gretl-users] Heteroskedasticity / correction

Allin Cottrell cottrell at wfu.edu
Fri Jan 10 13:27:10 EST 2014

On Fri, 10 Jan 2014, Riccardo (Jack) Lucchetti wrote:

> Of course, generating data which _does_ contain heterskedasticity is totally 
> irrelevant here: if I understand the point correctly, the issue here is on 
> whether a constant should be present or not in the auxiliary regression for 
> the White test. And the answer is: yes, the constant should be there. And 
> that's what gretl does:

Hmm, no it's not. Gretl includes _only_ the original regressors (and their 
squares and cross-products if appropriate) in the auxiliary regression. I 
guess this is a bug.

> ? modtest --white
> White's test for heteroskedasticity
> OLS, using observations 1-100
> Dependent variable: uhat^2
>             coefficient   std. error   t-ratio   p-value
>  --------------------------------------------------------
>  x           −0.103511     0.315278    −0.3283   0.7434
>  sq_x         0.798762     0.152451     5.239    9.24e-07 ***

Note, no const here.

Allin Cottrell

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