Re: [Gretl-users] Heteroskedasticity / correction

Am 10.01.2014 18:38, schrieb Ana Amaro ISG: > 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 why no constant here? usually you need to have good reasons for that -- if you had a constant in step 1, dividing everything by some number does not eliminate the 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? I'm trying to avoid the question by suggesting to include the constant in the estimated equation :-) However, I tend to agree that the variance test equation should always have a constant term, otherwise there is almost no chance to accept the null, even without heteroscedasticity. So it looks as if gretl may need to change here -- take it with a grain of salt though, as I haven't thought much about it. -sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users