Hi everyone. I hope there is someone out there that can answer my question
Im currently writing my thesis about the price-setting on the real estate market, where im making a hedonic model to estimate the price of individual houses, with time on market, physical attributes, locational attributes and trend as independable variables.
I have come to the conclusion that heteroskedasticity is present in my model, why the t-statistic and F-statistic is biased. As far as i know Ramseys RESET test, Wald test and Davidson-MacKinnon test cannot be used with the presence of heteroskedasticity because they rely on the t-statistic and F-statistic. My question is : how can these test be made robust to heteroskedasticity and can it be done in eviews?
My own thought for the Wald test and Davidson-MacKinnon test is first to make the model robust for heteroskedasticity with Whites heteroskedasticy-constant standard error & covariance method and afterwards make the tests. Making the tests without or with Whites heteroskedasticy-constant standard error & covariance, gives different test result, but this doesn't necessarily imply that this is the right way of doing it.
Making the Ramseys RESET test without or with heteroskedasticy-constant standard error & covariance makes no difference in the test results, why i don't think this is the way to go.
Anyway please give me your feedbacks and thoughts on this issue.
Thanks in advance
Martin
Heteroskedastic robust t-statistic and F-statistic
Moderators: EViews Gareth, EViews Moderator
Re: Heteroskedastic robust t-statistic and F-statistic
There must be someone out there knowing the solution Please share...
-
- Posts: 1
- Joined: Thu Apr 23, 2009 6:21 pm
Re: Heteroskedastic robust t-statistic and F-statistic
Hi,
The procedure you have followed (make estimators robust) I think is correct. When doing the Ramsey test you also have to include the option to make the estimators of the expanded model robust. This will produce a robust F-statistic. I think this is the way.
You can check this book: "Introductory Econometrics, A Modern Approach" by J. Wooldridge. This matter you can find in chapter 9 (third edition).
I hope I have helped somewhat.
The procedure you have followed (make estimators robust) I think is correct. When doing the Ramsey test you also have to include the option to make the estimators of the expanded model robust. This will produce a robust F-statistic. I think this is the way.
You can check this book: "Introductory Econometrics, A Modern Approach" by J. Wooldridge. This matter you can find in chapter 9 (third edition).
I hope I have helped somewhat.
Return to “Econometric Discussions”
Who is online
Users browsing this forum: No registered users and 26 guests