[Gretl-users] Re: OLS regression with heteroscedasticy problem
Am 01.04.2022 um 15:49 schrieb John C Frain:
Your main problem here is a lack of data. A "Breusch-Pagan test
is
nonsignificant (Chi-square(4) = 1.77291, p= 0.777434)" does not reject
the null of heteroskedasticity. With your short series, however, the
test has very low power. Check what you are doing here.
I believe the Breusch-Pagan test that was referred to is the one you get
with "panspec", so a test of the pooled model against panel RE. It would
be less confusing if those guys hadn't invented various tests!
I'm not saying that anything you wrote is wrong.
cheers
sven