Dear Stata community!


I am running the three Breusch–Pagan tests versions most common in Stata (estat hettest estat hettest, iid estat hettest, fstat). While for the estat hettest there seems to be heteroskedasticity, the other two commands (to my understanding they appear more generalised forms of BP test) show no evidence of heteroskedasticity. I cannot understand why and what to do to be honest... which of the three test should I go for (i have a stock market event study and analysing the corss-section returns).


Thank you for your explanations!
Gabriele

Breusch–Pagan/Cook–Weisberg test for heteroskedasticity
Assumption: Normal error terms
Variable: Fitted values of CAR1

H0: Constant variance

chi2(1) = 9.71
Prob > chi2 = 0.0018

. estat hettest, iid

Breusch–Pagan/Cook–Weisberg test for heteroskedasticity
Assumption: i.i.d. error terms
Variable: Fitted values of CAR1

H0: Constant variance

chi2(1) = 1.81
Prob > chi2 = 0.1781