sas >> White's test of heteroskedasticity

by vocchiline » Wed, 19 Nov 2003 12:06:53 GMT

I have been reading White's 1980 article. I have had trouble discerning
exactly how the test for heteroskedasticity is conducted. How is White
consistent estimator of the covariance matrix of beta compared to the
ordinary least squares estimator of the covariance matrix of beta? I
attempted to hand calculate the chi-square using White estimate of cov
(beta) and the ordinary least squares estimator estimate of cov(beta)
(which was obtained using COVB)on the printout. The hand calculation of
chi-square and df did not match the printout.

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