Heteroscedasticity tests use the standard errors obtained from the regression results.
Various tests help detect heteroscedasticities such as Breusch Pagan test and White test. It is therefore imperative to test for heteroscedasticity and apply corrective measures if it is present. This will make the OLS estimator unreliable due to bias. If heteroscedasticity is present in the data, the variance differs across the values of the explanatory variables and violates the assumption. It refers to the variance of the error terms in a regression model in an independent variable. Heteroskedastic means “differing variance” which comes from the Greek word “hetero” (‘different’) and “skedasis” (‘dispersion’). This article focuses on another important diagnostic test, i.e.
#Regress x on y stata how to
The previous articles showed how to perform normality tests in time series data. Rashmi Sajwan & Priya Chetty on October 16, 2018 ARCH model for time series analysis in STATA.How to identify ARCH effect for time series analysis in STATA?.How to test and diagnose VECM in STATA?.VECM in STATA for two cointegrating equations.How to perform Granger causality test in STATA?.How to perform Johansen cointegration test?.How to perform Johansen cointegration test in VAR with three variables?.Lag selection and cointegration test in VAR with two variables.How to perform regression analysis using VAR in STATA?.How to perform point forecasting in STATA?.How to test time series autocorrelation in STATA?.How to perform Heteroscedasticity test in STATA for time series data?.How to predict and forecast using ARIMA in STATA?.
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