Re: [Gretl-users] Heteroskedasticity / correction

> On Fri, 10 Jan 2014, Ana Amaro ISG wrote: > > When you multiply all the terms of the model by 1 / sqrt(x) the > const of the original model turns out to be > > const / sqrt(x) > > So this term of the corrected model is now a parameter (const) > times a variable (1/ sqrt(x)) meaning that a 'const' alone > disapeared in the new model. > > Is this clear? Yes. But the model in question still has two regressors: the adjusted "x" and the adjusted "const" (which, I agree, is no longer a true constant). So now if you want to test the weighted regression for any remaining heteroskedasticity the question is, should the auxiliary regression for White's test include a true constant (in addition to the term (1/sqrt(x))? I suppose the answer has to be Yes (to give the null hypothesis a fighting chance). And that is what gretl will now do, after modification in response to your first posting. Here's an illustrative script: <hansl> open data4-1 # unweighted regression and test ols price const sqft modtest --white # generate weighted data series w = sqrt(sqft) series wy = price/w series w0 = const/w series wx = sqft/w # weighted regression and test ols wy w0 wx modtest --white </hansl> If you run this with current CVS/snapshot you'll see that the second White's test auxiliary regression includes "const" as well as w0 (plus wx and the squares of w0 and wx). Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users