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

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 _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users