Great video Sebastian! Explained in detail and easy to understand. Might i also add the estat hettest command, as a way to reject or not, the constant variance null hypothesis.
Many thanks for this video. I'm just wondering, can we just use the command ( hettest) after the original regression ( without typing "robust" at the end of it) to figure out the presence of heteroskedasticity?
Hi, thank you for this helpful video! When I followed the first two test, the p-value for my f statistic was significant for heteroskedasticity (P= 0.0591; P=0.0024). However, when I ran the 3rd test in the video, my p values were no longer significant (p=0.2514). Not sure what this means. Should I follow you're correction to the heteroskedasticity video anyway or is there something more fundamentally wrong with my model?
I am surprised your fully specified White test would have such a high p-value compared to the others. It's possible you made a mistake with the test, but I'm not sure. There could be other problems with your model, but these tests don't provide any information on that. In practice, most economists just use White's robust standard errors on all regressions.
I have a question when I’m doing my white test I got a result of 193 degrees of freedom that’s exactly the same as the dataset. Is there a way to fix it?
You need to use heteroscedasticity robust standard errors (I have a video on this) and should consider first-differences (shown in my fixed effects video).
This gives us a nonlinear interpretation, such that we're looking at proportional changes, rather than level changes. It's doesn't really have anything to do with heteroscedasticity.
You need to add terms for all combinations of variables. For example, if you had three variables: a, b, and c, then you need: a^2, b^2, c^2, ab, ac, and bc.
@@sebastianwaiecon Thank you so much. I got it. Could you please send me your gmail or email address which you use frequently? I have got many questions to ask you about Stata. I really need help. Thanks in advance
After regressing e2 on yhat and yhat2 , I obtained this F(2, 1327) = 0.43 Prob>F = 0.6534 Does this mean that I don't have a heteroskedasticity problem in my model?
when i use BP test of heteroskedasticity and i find that p-value =0.000 so there is not a heteroskedasticity so we don't need to do the white test?? that's it?
@@sebastianwaiecon I think I'm just gonna stick to Breusch-Pagan and check a plot of my residuals! I tried a few custom packages, but they were wack. Thanks tho
Sir, I need a suggestion. My 1st White's test -----------------------> Prob > F = 0.0704 , F(7, 648) = 1.88) 2nd White's test ------------------------------> Prob > F = 0.1626 , F(2, 653) = 1.82 Should I accept that there is "Heteroscedasticity" ??? or not? Please guide me.
Best video so far! Simple and concise!
Fantastic Video on "Heteroscedasticity". Thank you Sir.
Great video Sebastian! Explained in detail and easy to understand. Might i also add the estat hettest command, as a way to reject or not, the constant variance null hypothesis.
Thank you bro. You made this so easy. God bless
Please put the link of the previous video which you recommended in the description box.
thank you so much my friend
Thanks for the video! I have a question. Will using the robust regression (rreg) account for robust standard errors?
See my video on robust standard errors.
Many thanks for this video. I'm just wondering, can we just use the command ( hettest) after the original regression ( without typing "robust" at the end of it) to figure out the presence of heteroskedasticity?
I'm not personally familiar with that command.
I think that uses the chi squared statistic where as the one in the video uses the F statistic.
Hi, thank you for this helpful video! When I followed the first two test, the p-value for my f statistic was significant for heteroskedasticity (P= 0.0591; P=0.0024). However, when I ran the 3rd test in the video, my p values were no longer significant (p=0.2514). Not sure what this means. Should I follow you're correction to the heteroskedasticity video anyway or is there something more fundamentally wrong with my model?
I am surprised your fully specified White test would have such a high p-value compared to the others. It's possible you made a mistake with the test, but I'm not sure. There could be other problems with your model, but these tests don't provide any information on that. In practice, most economists just use White's robust standard errors on all regressions.
could you please do the gold-field quandt test aslo
I have a question when I’m doing my white test I got a result of 193 degrees of freedom that’s exactly the same as the dataset. Is there a way to fix it?
thank you so much!
Hello kind sir. What browser should I search to make a stata?
many thanks
if my panel data fails to pass the normality,homoskedasticity and serial correlation tests,then what shall I do to correct it?
You need to use heteroscedasticity robust standard errors (I have a video on this) and should consider first-differences (shown in my fixed effects video).
Great Video. Can you please share the data-set used?
It is WAGE1.dta, which comes with the Wooldridge econometrics textbook. You can find it online fairly easily.
How can I run a heteroscedasticity test for a VAR model?
Why do you regress log variable instead of just the normal form of it?
This gives us a nonlinear interpretation, such that we're looking at proportional changes, rather than level changes. It's doesn't really have anything to do with heteroscedasticity.
What if there are more than two variables for example 5? How to use 2nd
method of White'stest which is original way of solving?
You need to add terms for all combinations of variables. For example, if you had three variables: a, b, and c, then you need: a^2, b^2, c^2, ab, ac, and bc.
@@sebastianwaiecon Thank you so much. I got it. Could you please send me your gmail or email address which you use frequently? I have got many questions to ask you about Stata. I really need help. Thanks in advance
thx bud
After regressing e2 on yhat and yhat2 , I obtained this
F(2, 1327) = 0.43
Prob>F = 0.6534
Does this mean that I don't have a heteroskedasticity problem in my model?
I would still try the B-P test, but yes, it looks like you don't have to worry about heteroscedasticity here.
When will we conclude there is heteroscedaticity? When p is above or below what value?
if p is less than 0.05 then heteroskedasticity else homoskedasticity
when i use BP test of heteroskedasticity and i find that p-value =0.000 so there is not a heteroskedasticity so we don't need to do the white test?? that's it?
It's the other way around. Low p-value is evidence that there is heteroscedasticity. At this point, you could also do the White test if you wanted.
@@sebastianwaiecon when i use Breusch Pagan i get p-value =0.000 than when i use white test i get p-value =0.0002 what should i do??
????!!???
This shows you have heteroscedasticity and need to use robust standard errors.
@@sebastianwaiecon how?? can u help me
please do park test using stata
While I have no immediate plans to expand this series, I'll consider that. Thanks for the suggestion.
I just wish there was a way to do the real white test easily...I have 6 predictors and generating 21 new variables sounds like a pain in the ass
You might want to look into custom packages for the White test, in that case.
@@sebastianwaiecon I think I'm just gonna stick to Breusch-Pagan and check a plot of my residuals! I tried a few custom packages, but they were wack.
Thanks tho
Sir, I need a suggestion.
My 1st White's test -----------------------> Prob > F = 0.0704 , F(7, 648) = 1.88)
2nd White's test ------------------------------> Prob > F = 0.1626 , F(2, 653) = 1.82
Should I accept that there is "Heteroscedasticity" ??? or not?
Please guide me.
What do you mean by first and second White test?
heteroskediddly