Re: [Gretl-users] Heteroskedasticity / correction

> On Fri, 10 Jan 2014, Ana Amaro ISG wrote: > > Hi everyone > I need some help on this topic: > 1- simple model one regressor (x) > 2- error is heteroskedastic (and residual analysis shows that the error variance increases with x variable) > 3- rerun the analysis dividing both model members by the sqrt(x) - no constant > > Eviews runs the white test with a constant > Gretl runs the white test with no constant! > The decision is, of course, different. > > Which software is doing it the right way? Eviews, right? Uhm, this is not what I'm seeing here. <hansl> nulldata 100 set seed 987 x = normal() e = normal() * sqrt(1 + x^2) y = x + e ols y x modtest --white </hansl> 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: <output> ? ols y x Model 1: OLS, using observations 1-100 Dependent variable: y coefficient std. error t-ratio p-value -------------------------------------------------------- x 0.955352 0.128086 7.459 3.40e-11 *** Mean dependent var 0.340859 S.D. dependent var 1.747793 Sum squared resid 201.0589 S.E. of regression 1.425096 R-squared 0.359770 Adjusted R-squared 0.359770 F(1, 99) 55.63201 P-value(F) 3.40e-11 Log-likelihood −176.8152 Akaike criterion 355.6305 Schwarz criterion 358.2357 Hannan-Quinn 356.6849 ? 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 *** Unadjusted R-squared = 0.243094 Test statistic: TR^2 = 24.309362, with p-value = P(Chi-square(1) > 24.309362) = 0.000001 </output> ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users