How to perform white's test in GLM
Posted: Fri Sep 16, 2011 2:18 am
Since the dependent variable is a fraction between 0-1, I used GLM to run the regression. However I find that the regression results are different when I changed the covariance method from default to Huber/White. What is the meaning of choosing Huber/White covariance in GLM? How can I perform white's test to show that Huber/White's covariance is a more suitable model?