EViews.com

Using unstructured data in eviews, I have produced a set of weighted statistics and wanted to confirm there's no more heteroscedascity in the weighted least square model. I used the Glesjer test for this purpose.

I obtained the weighted residuals and made it absolute, absuhat=abs(resid) from the weighted least square model and run the regression, ls absuhat c w*x1 w*x2 and got the glesjer test results output. (w=1/sigma or standard deviation. * is multiply).

The problem is how come my output is different from the eviews glesjer test button output ? The glesjer test button output is awresid = c + x1*wgt +x2*wgt (wgt = weight= 1/sigma or std dev, awresid is absolute weigthed residuals).

If I used Breusch-Pagan test and Harvey-Godfrey test, it's still different between my output and the button's output.

Hope to receive the reply urgently. You can email to cheeyoong1@gmail.com.

Sincerely,
Eric

Without seeing your data it is hard to say whether this is the cause of the discrepancy, but I do note from your notation that you didn't weight the constant in your auxiliary regression....

yes, more JMK Design information is needed

This was pushed to my RSS feed by the recent response so I went in to see whether I could figure out what might be going on. Most likely, the issue is the scaling of the default weights.

Suppose we estimate the following WLS equation: The following auxiliary regression matches the Glejser test output run on the full sample: Note that if there are automatic sample adjustments made in the original estimation, these adjustments must also be made to the call to @mean.

Lastly, I don't know whether the original poster is going to see this or not. We do not as a general rule respond to forum posts directly to email when the topic is presumably of general interest.