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  • test for heteroskedasticity

    Hi.I have a question I searched for a lot, but I did not find an answer. How can we test the heteroskedasticity after performing newey?

  • #2
    Parastou:
    welcome to this forum.
    -newey- assumes that the error structure is heteroskedastcic and possibly autocorrelated up to a given lag (see -newey- entry in Stata .pdf manual).
    Hence, Newey-West standard errors are by defauls robust to heteroskedasticity.
    As a consequence, testing for heteroskeadsticity after -newey- does not make sense.
    Kind regards,
    Carlo
    (Stata 15.1 SE)

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    • #3
      Thanks carlo for your response.

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