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how to estimate White's heteroscedasticity corrected t-value

Posted: Mon Mar 11, 2013 12:03 pm
by neptunhiker
Hi everyone,

I am looking for a way to conduct a ols regression using White standard errors. I know how to use the interface option, but I would like to include it in a program.

Does anyone have an idea?

Thanks a lot in advance for help.

Re: how to estimate White's heteroscedasticity corrected t-v

Posted: Mon Mar 11, 2013 2:06 pm
by EViews Gareth
Estimate it via the interface, then click on View->Representations. One of the lines in the representations view gives you the command line form. You can then copy and paste it into your program, etc...

Re: how to estimate White's heteroscedasticity corrected t-v

Posted: Mon Mar 11, 2013 2:14 pm
by EViews Esther
As an example,

Code: Select all

equation e1.ls(cov=white) x1 x2
will generate an equation object which contains white heteroskedasticity-consistent standard errors.

Re: how to estimate White's heteroscedasticity corrected t-v

Posted: Mon Mar 11, 2013 3:56 pm
by neptunhiker
yes, thank you very much, that worked. Great help!