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Use VOTE 1.RAW for this exercise.
(i) Estimate a model with voteA as the dependent variable and prtystrA, democA, log(expendA), and log(expendB) as independent variables. Obtain the OLS residuals, u, and regress these on all of the independent variables. Explain why you obtain R2 = 0.
(ii) Now, compute the Breusch-Pagan test for heteroskedasticity. Use the F statistic version and report the p-value.
(iii) Compute the special case of the White test for heteroskedasticity, again using the F statistic form. How strong is the evidence for heteroskedasticity now? |
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