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How to interpret heteroskedasticity in STATA? Watch

    • Thread Starter

    Hey everyone

    In STATA, does anyone know how to inerpret the results of the heteroskedasticity test? I typed in hettest to do the test, and got these results:

    Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
    Ho: Constant variance
    Variables: fitted values of q21

    chi2(1) = 8.33
    Prob > chi2 = 0.0039

    Then I typed in: estat imtest for another test and got these results:

    Cameron & Trivedi's decomposition of IM-test

    Source | chi2 df p
    Heteroskedasticity | 1.78 3 0.6201
    Skewness | 3.98 2 0.1367
    Kurtosis | 3.26 1 0.0710
    Total | 9.02 6 0.1727

    Any help will be very very much appreciated!!

    sup, seems like you're under the same headache as what I'm experiencing at the moment.

    Heteroskedasticity means the there is not constant variance. When you're given the first test, the breusch-Pagan one, first check the null hypothesis: constant variance. This is saying that if the null hypothesis is rejected then we have heteroskedasticity.

    How to interpret?

    Look straight to the p-value. If the p-value is (preferably) 0.05 or smaller, then the null hypothesis is rejected and there is significant evidence the there is heteroskedasticity. So in your example below as the p-value is less than 0.05 you have heteroskedasticity.

    I'm not sure about the second one, but seriously, use the stata help files, alot of them state the null hypothesis which is what you need. Also, just search in google, there's so many lecture notes that are so good in explaining this, you just got to bother to look. I'm strugglin to get my head round the park test at the moment...

    just updating this cos 've just foun this link that might help, an example of how google saves tears:

    good luck with it, you're not alone in feeling very, very miserable...
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