Object Reference : Object View and Procedure Reference : Equation
Test for Heteroskedasticity.
Performs a test for heteroskedasticity among the residuals from an equation.
The test performed can be a Breusch-Pagan-Godfrey (the default option), Harvey, Glejser, ARCH or White style test.
equation_name.hettest(options) variables
type = keyword
where keyword is either “BPG” (Breusch-Pagan-Godfrey - default), “Harvey”, “Glejser”, “ARCH”, or “White”.
include cross terms for White test.
lags = int
set number of lags to use for ARCH test. (Only applies when type = “ARCH”.
Force the dialog to appear from within a program.
A list of series names to be included in the auxiliary regression. Not applicable for ARCH or White type tests. The following keywords may be included:
include every regressor from the original equation.
include every gradient in the original equation (non-linear equations only).
include the int-th gradient.
include white-style regressors (the cross-product of the regressor list, or the gradient list if non-linear). key may be on of the following keywords: “@regs” (include every regressor from the original equation), “@drop(variables)” (drop a variable from those already included. For example, “@white(@regs @drop(x2))” would include all original regressors apart from X2), “@comp” (include the compatible style White regressors, i.e. levels, squares, and cross-products).
include an ARCH specification with the number of lags specified by lag_structure. If lag_structure is a single number, then it defines the number of lags to include. Otherwise, the lag structure is in pairs. For example, “@arch(1 5 9 10)” will include lags 1, 2, 3, 4, 5, 9, 10.
include unweighted variables (only applicable in a weighted original equation).
eq1.hettest(type=harvey) @white(@regs @drop(log(ip)))
performs a heteroskedasticity test with an auxiliary regression of the log of squared residuals on the cross product of all the original equation’s variables, except LOG(IP).
See “Heteroskedasticity Tests” for a discussion of heteroskedasticity testing in EViews.