hetregress fits linear regressions in which the variance is an exponential function of covariates that you specify. It allows you to model the heteroskedasticity.
When we fit models using ordinary least squares
(regress), we assume that the variance of the residuals is constant. If it is not constant,
regress reports biased standard errors, leading to incorrect inferences. hetregress lets you deal with the heterogeneity. Modeling the variance as an exponential function also produces more efficient parameter estimates if the variance model is correctly specified.
hetregress implements two estimators for the variance: a maximum likelihood (ML) estimator and a two-step GLS estimator. The ML estimates are more efficient than those obtained by the GLS estimator if the mean and variance function are correctly specified and the errors are normally distributed. The two-step GLS estimates are more robust if the variance function is incorrect or the errors are nonnormal.