MSS: Stata module to perform heteroskedasticity test for quantile and OLS regressions

José A.F. Machado,J.M.C. Santos Silva

MSS: Stata module to perform heteroskedasticity test for quantile and OLS regressions

2011

José A.F. Machado
J.M.C. Santos Silva

mss computes the Machado-Santos Silva (2000, Glejser's Test Revisited, Journal of Econometrics, 97, 189-202 ) heteroskedasticity test for quantile and OLS regressions.

Keywords:

Heteroscedasticity
Quantile
Econometrics
Quantile regression
Mathematics

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