Testing under a special form of heteroscedasticity

Figures & data

Figure 1. Monte Carlo simulation results.

Table 1. Replication and re-estimation of within-twin pair regressions in Table 1, Amin (2011) and corresponding heteroscedasticity tests.

			Within-twin pair		Within-twin pair with covariates
			OLS	IV	OLS	IV
Sample			(3)	(4)	(7)	(8)
Full Bonjour et al. dataset		${\hat{\beta }}_{education}$	0.039	0.077	0.039	0. 082
		Conventional SE	(0.023)*	(0.033)**	(0.024)	(0.036)**
		Robust SE	(0.018)**	(0.039)**	(0.018)**	(0.043)*
		Breusch–Pagan test	0.3645	0.3124	0.6090	0.5435
		White test	0.4805	0.4581	0.5300	0.5603
		Elliptical Het. test	0.0096	0.0234	0.0113	0.0295
Drop if abs. wage difference $>90$		${\hat{\beta }}_{education}$	0.032	0.050	0.034	0.053
		Conventional SE	(0.021)	(0.031)	(0.023)	(0.033)
		Robust SE	(0.016)**	(0.027)*	(0.017)**	(0.030)*
		Breusch–Pagan test	0.7221	0.6719	0.8713	0.8276
		White test	0.4982	0.4906	0.5451	0.5491
		Elliptical Het. test	0.0109	0.0107	0.0194	0.0211
Drop if abs. wage difference $>75$		${\hat{\beta }}_{education}$	0.032	0.050	0.036	0.055
		Conventional SE	(0.021)	(0.030)*	(0.022)	(0.032)*
		Robust SE	(0.016)**	(0.027)*	(0.017)**	(0.030)*
		Breusch–Pagan test	0.7207	0.6737	0.7799	0.7437
		White test	0.5488	0.5421	0.6034	0.6075
		Elliptical Het. test	0.0176	0.0173	0.0341	0.0383
Drop if abs. wage difference $>65$		${\hat{\beta }}_{education}$	0.032	0.036	0.036	0.039
		Conventional SE	(0.020)	(0.029)	(0.021)*	(0.031)
		Robust SE	(0.016)**	(0.022)	(0.017)**	(0.024)
		Breusch–Pagan test	0.7143	0.7065	0.8136	0.8126
		White test	0.6147	0.6101	0.6562	0.6559
		Elliptical Het. test	0.0297	0.0286	0.0464	0.0461
Drop if abs. wage difference $>60$		${\hat{\beta }}_{education}$	0.028	0.036	0.036	0.041
		Conventional SE	(0.019)	(0.027)	(0.019)*	(0.028)
		Robust SE	(0.016)*	(0.022)	(0.016)**	(0.023)*
		Breusch–Pagan test	0.9861	0.9466	0.8177	0.8014
		White test	0.6310	0.6237	0.7247	0.7194
		Elliptical Het. test	0.0586	0.0534	0.0824	0.0813

$N=214(187)$ for the full Bonjour et al. (2003) dataset (including covariates). For further details on the regressions, see Section IV. The values for the heteroscedasticity tests are $p$-values. For further details on the tests, see Sections II and III. ***, **, * indicate significance at the 1%, 5% and 10% level, respectively.

Amin, V. 2011. “Returns to Education: Evidence from UK Twins: Comment.” American Economic Review 101 (4): 1629–1635. doi:10.1257/aer.101.4.1629.

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