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scripts default iconHeteroskedasticity test (Scripts) Publisher's description

TESTHET Tests wether heteroskedasticity affects data. Need 'regstats' and 'chi2cdf' (Stat TB)

TESTHET Tests wether heteroskedasticity affects data. Need 'regstats' and 'chi2cdf' (Stat TB).

- Res: residuals obtained by regressing Y on x1, x2 etc...(1) It can be a numeric 'n-by-1' vector or a 'n-by-p' matrix with 'p' residuals obtained from different regressions. The # of obs. is 'n'.
- X: predictors suspected of causing heteroskedasticity. Not necessarily all those in (1). Same format as Res.
- Whichtest: test chosen in format string.
a. Breush-Pagan, Koenker mod. --> -BPK
b. White --> -W
c. White, Wooldridge --> -Ws
- Yhat: only for '-Ws' test. Fitted values from (1). Same format as Res.

A '1-by-p' array with p-values.

1. Regress Y on x1, x2:
--> regstats(Y, [x1 x2], 'linear', {'r','yhat'})
2. Test with -Ws:
--> TestHet(r,[x1, x2], '-Ws', yhat)

For general econometric reference:
[1] Greene, W.H. (2003 - 5th ed.) Econometric Analysis. Prentice Hall.
[2] Wooldridge, J.M. (2006 - 3rd ed.). Introductory Econometrics: A Modern Approach. Thomson - South West.
[3] Kennedy, P. (2008 - 6th ed.). A Guide to Econometrics. Blackwell Publishing.

Any comments, suggestions and critics are truly welcome.
Plz let me know if you prefer a function which doesn't use the stats toolbox.


System Requirements:

MATLAB 7.7 (R2008b)
Program Release Status: New Release
Program Install Support: Install and Uninstall

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