estat szroeter

Like many other estat

commands, estat szroeter conducts a test for heteroskedasticity. This particular version uses a Szroeter's rank test to test for the specified variables. Also like many of the other estat commands, the estat szroeter test has , rhs option to speicy testing the explanatory variables.

The syntax is simply estat szroeter [variable1] [variableN] and no variables need be specified if the , rhs option is used. In cases where multiple tests are being performed, Stata also offers the , mtest([specific correction]) option, which corrects the p-values according to the specification you chose. The options are , mtest(bonferroni) which runs a Bonferroni correction, , mtest(sidak) which uses Sidak's multiple comparison adjustor and finally , mtest(holm) which uses Holm's. If the mtest option is not specified noadjustment is made for multiple comparisons.

To learn more about Szroeter and his tests for heteroskedasticity, see here for the original article.

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