White’s test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity

chi2 (9) = 28.27

Prob > chi2 = 0.0009

Cameron & Trivedi’s decomposition of IM-test

Source

chi2

df

p

Heteroskedasticity

Skewness

Kurtosis

28.27

14.43

1.33

9

3

1

0.0009

0.0024

0.2494

Total

44.02

13

0.0000