this question is about how EVIEWS performs the WHITE test for heteroskedasticity AFTER you have estimated the model by weighted least squares
i estimate (1) y = b0+b1*X +b2*Z + e....build a model for heteroskedasticity log(e_hat) = a0+a1*x+a2*Z.....forecast e_hat (call the forecasts e_hatf) then estimate 1 again as y/e_hatf^.5 1/e_hatf^.5 x/e_hatf z/^hatf......then test for heteroskedasticity (using white again)
the white test after the y/e_hatf^.5 regression is NOT the same as the white test if i lets EVIEWS estimate wls (using weights (inverse standard deviation..etc--although the coefficients and standard errors are the same).
i must be missing something. can you point out my eviews error or perhaps give me a cite for a paper that shows what EVIEWS is doing for the white test AFTER estimating wls.
thanks
Russ
white test after weighted least squares
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Re: white test after weighted least squares
The White test is a residual based test. When you estimate with WLS, EViews uses the unweighted residuals.
When you estimate manually you are forcing use of the weighted residuals.
When you estimate manually you are forcing use of the weighted residuals.
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