What is estat Imtest Stata?

What is estat Imtest Stata?

The estat imtest command runs the Cameron-Trivedi decomposition (which includes a test for heteroskedasticity). Additionally, estat imtest displays tests for skew and kurtosis. Useful for cases the heteroskedasticity might not be linear, it is less powerful in cases where simpler tests will work. …

How do you test for heteroskedasticity in Stata?

Figure 5: Testing for Heteroscedasticity Using the Postestimation Selector Dialog Box in Stata. Click on “Tests for heteroskedasticity” and press Launch to produce a second dialog box, “estat – Postestimation statistics for regress.” In the box at the top,”Tests for heteroskedasticity (hettest)” should be highlighted.

What is the difference between Breusch-Pagan and White test?

White’s test is used to test for heteroscedastic (“differently dispersed”) errors in regression analysis. The only different between White’s test and the Breusch-Pagan is that its auxiliary regression doesn’t include cross-terms or the original squared variables. Other than that, the steps are exactly the same.

How do you interpret heteroskedasticity?

Further Analyzing Heteroskedasticity One of the most common ways of checking for heteroskedasticity is by plotting a graph of the residuals. Visually, if there appears to be a fan or cone shape in the residual plot, it indicates the presence of heteroskedasticity.

Do you want heteroskedasticity and homoscedasticity?

There are two big reasons why you want homoscedasticity: While heteroscedasticity does not cause bias in the coefficient estimates, it does make them less precise. This effect occurs because heteroscedasticity increases the variance of the coefficient estimates but the OLS procedure does not detect this increase.

Which test is best for heteroskedasticity?

First, test whether the data fits to Gaussian (Normal) distribution. If YES, then Bartlett test is most powerful to detect heteroskedasticity. If there is MINOR DEVIATION (see the Q-Q plot from test for normality) from normality, then use Levene test for heteroskedasticity.

What does the Ramsey Reset test do?

In statistics, the Ramsey Regression Equation Specification Error Test (RESET) test is a general specification test for the linear regression model. More specifically, it tests whether non-linear combinations of the fitted values help explain the response variable.

What would a chi square significance value of P 0.05 suggest?

What is a significant p value for chi squared? The likelihood chi-square statistic is 11.816 and the p-value = 0.019. Therefore, at a significance level of 0.05, you can conclude that the association between the variables is statistically significant.