I am trying to estimate heteroskedasticity in R. I had Eviews available in my college's lab but not at home. I have been trying to use "het.test" package and
whites.htest but the value that I get is different from what I get in Eviews. According to the author of the package, it is meant to do the same test as is done in Eviews.
My model looks like
A~B+C. Kindly guide me what I am doing wrong.
I 1st run ols for equation
A~B+C, after getting results, I clicked
View>Residual diagnostics>Heteroscadicity tests>White's (with Include white cross terms) and then Press ok. The result i got was
Prob. F(5,27) = 0.2948.
For R, i tried code at this link [this link], here is the edited code that i used.
library(vars) library(het.test) dataset <- data.frame(A,B,C)) model1 <- VAR(dataset, p = 1) whites.htest(model1)
This gave me value of 0.63.
I tried searching this forum but none question seemed related. I am not a programmer not statistician so please pardon my ignorance.