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estat imtest

The estat imtest command runs the Cameron-Trivedi decomposition (which includes a test for heteroskedasticity). Additionally, estat imtest displays tests for skew and kurtosis.

The syntax is simply estat imtest though you may want to specify the , white option as well (which runs White's version of the heteroskedasticity test along with the Cameron-Trivedi decomposition). Since White's test is a specialized version of what estat hettest runs, this is once more a simple chi-square result wherein a low chi-square and a high p-value indicate nonworrisome heteroskedasticity. Useful for cases the heteroskedasticity might not be linear, it is less powerful in cases where simpler tests will work.

You will notice additionally that White's chi-square will be extremely similar to the first number in the Cameron-Trivedi decomposition. The skew and kurtosis tests are also reported with chi-squares and once more, small chi-squares and big p-values mean that skew and kurtosis aren't a problem.