* Heteroskedasticity in OLS Model for Mutual Funds' Returns * * Keywords: * regression, ols, linear, heteroskedasticity, rank, test, srcc, mutual fund, * returns * * Description: * We illustrate how to estimate a linear OLS Model for Mutual Funds' Returns * and use Rank Correlation Heteroskedasticity Test * * Author(s): * Skif Pankov * * Source: * Damodar N. Gujarati and Dawn C. Porter, Basic Econometrics - 5th Edition * McGraw-Hill International Edition, Chapter 11, Example 11.3 (page 381) * sample 1 10 * Reading the datafile and naming variables read(data_11.3.shd) ret sd * Running an OLS regression of ret on sd, stating to include residual * statistics and to save residuals in a variable reds ols ret sd / rstat resid = reds * Saving degrees of freedom of the regression as num gen1 num = $n - 2 * Generating absolute values of residuals genr u = abs(reds) * Calculating Spearman's Rank Correlation Coefficients stat sd u / prankcor rankcor = src * Saving the SRCC of sd and u as r gen1 r = src:2 * Generating the test statistic tst gen1 tst = r*sqrt(num)/sqrt(1-r**2 ) * Computing tst's probability using a t distribution distrib tst / type = t df = num stop