On Wed, 13 Oct 2004, Ignacio Díaz-Emparanza wrote: > I have been building some examples about heteroskedasticity data > with gretl. I had two variables whose linear relationship had > hetero. and so I regressed y on x using 1/sqrt(x) as weigths. > Then, I suspected that the residuals were heteroskedastic yet, so > I tried to do some testing on them.
> Firstly, I cannot do a LM test on the WLS regression (¿Why not? > umm I have to think a while about it ... I know that the > regressor now is xt*wt, and so the test may have a different > interpretation, but ... may have any sense in this case, ¿or > not?). I'll have to think about that too. > Secondly, as I did not have the test, I saved the WLS residuals an > regressed them over a constant (by OLS), so I had a window model, > and the heteroskedasticity test was active in the corresponding > menu. I selected this and ... gretl exited!! I found the bug responsible for the crash. Fixed in CVS. > In fact I have seen that regressing any variable over a constant, > the same occurs. I understand that the Hetero. test runs a > regression of the residuals over the regressors and their squares, That's right, and so naturally it fails in this case. > and so in this case there were no regressors, but I think Gretl > should act in another form. For example in this case gretl may ask > for a variable, or use the index ... I would day that in this case (regression on only a constant), gretl should make the heteroskedasticity test menu item unavailable. I tend to think it is the researcher's responsibility to save the residuals (which are just de-meaned y) and then regress them on whatever variable might be relevant. -- Allin Cottrell Department of Economics Wake Forest University, NC
