Hi, I have a model with 3 nominal independent variables. Three dummy variables are used for the first nominal variable. Two dummy varaibles are used for the second nominal variable. And two dummy variables are used for the third dummy variables. I test for heteroskedasticiy by 2 methods.
(1) Use stata command : hettest. The chi(1) = 6.21 and its p-value = 0.0127.
(2) Use the regular regression: Run resdidual^2 on all dummy variables. The F-statistics = 1.492 and its p-value = 0.2106.
The two methods give different conclusion about heteroskedasticity.
Can somebody explain this different results?
Thank You.