Dear all,
When I tested for heteroskedasticity, the Breusch Pagan gave a contradicting result to the White test. And my question is: which test should I trust?
I know the White test tests for nonlinear forms of heteroskedasticity. Does that mean that I have a nonlinear heteroskedasticity that was not picked up by Bresuch-Pagan test?
My regression is of the following form: Y x1 x2 x3 x4^2 x6 x6 x7 x8 x9
Here is my output:
[Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of y
chi2(1) = 0.66
Prob > chi2 = 0.4164
. imtest, white
White's test for Ho: homoskedasticity
against Ha: unrestricted heteroskedasticity
chi2(51) = 104.38
Prob > chi2 = 0.0000
Cameron & Trivedi's decomposition of IM-test
Source chi2 df p
Heteroskedasticity 104.38 51 0.0000
Skewness ```````````````34.16 9 0.0001
Kurtosis 31.13 1 0.0000
Total 169.67 61 0.0000]
When I tested for heteroskedasticity, the Breusch Pagan gave a contradicting result to the White test. And my question is: which test should I trust?
I know the White test tests for nonlinear forms of heteroskedasticity. Does that mean that I have a nonlinear heteroskedasticity that was not picked up by Bresuch-Pagan test?
My regression is of the following form: Y x1 x2 x3 x4^2 x6 x6 x7 x8 x9
Here is my output:
[Breusch-Pagan / Cook-Weisberg test for heteroskedasticity
Ho: Constant variance
Variables: fitted values of y
chi2(1) = 0.66
Prob > chi2 = 0.4164
. imtest, white
White's test for Ho: homoskedasticity
against Ha: unrestricted heteroskedasticity
chi2(51) = 104.38
Prob > chi2 = 0.0000
Cameron & Trivedi's decomposition of IM-test
Source chi2 df p
Heteroskedasticity 104.38 51 0.0000
Skewness ```````````````34.16 9 0.0001
Kurtosis 31.13 1 0.0000
Total 169.67 61 0.0000]
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