Re: [Gretl-users] Heteroskedasticity / correction
On Fri, 10 Jan 2014, Riccardo (Jack) Lucchetti wrote:
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:
Hmm, no it's not. Gretl includes _only_ the original regressors (and their
squares and cross-products if appropriate) in the auxiliary regression. I
guess this is a bug.
? 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 ***
Note, no const here.
Allin Cottrell