IVHETTEST: Stata module to perform Pagan-Hall and related heteroskedasticity tests after IV
Mark E Schaffer
ivhettest performs various flavors of Pagan and Hall's (1983) tests of heteroskedasticity for instrumental variables (IV) estimation. It will also perform the related standard heteroskedasticity tests of Breusch-Pagan, Godfrey, Cook-Weisberg, White and Koenker after estimation by OLS or IV. These are tests of whether there is heteroskedasticity in the estimated regression that is related to one or more indicator variables. The test flavors vary according to the choice of indicator variables and the choice of test statistics. Under the null of no heteroskedasticity, the test statistic is distributed as chi-sq with degrees of freedom = number of indicator variables. This is version 1.4 of ivhettest, updated from that published in Stata Journal, 3(1).
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