bp.test: Breusch-Pagan Test

Description

Breusch-Pagan test for heteroskedastic errors. The object of test results returned by this command can be plotted using the plot() function.

Usage

bp.test(
  mod,
  data = list(),
  varmod = NULL,
  koenker = TRUE,
  sig.level = 0.05,
  details = FALSE,
  hyp = TRUE
)

Value

List object including:

`hyp`	character matrix of hypotheses (if `hyp = TRUE`).
`results`	a data frame of basic test results.
`hreg`	matrix of aux. regression results..
`stats`	additional statistic of aux. regression..
`nulldist`	type of the Null distribution with its parameters.

Arguments

mod: estimated linear model object or formula.
data: if mod is a formula then the corresponding data frame has to be specified.
varmod: formula object (starting with tilde ~) specifying the terms of regressors that explain sigma squared for each observation. If not specified the regular model mod is used.
koenker: logical value specifying whether Koenker's studentized version or the original Breusch-Pagan test should be performed.
sig.level: significance level. Default value: sig.level = 0.05.
details: logical value indicating whether specific details about the test should be returned.
hyp: logical value indicating whether the Hypotheses should be returned.

References

Breusch, T.S. & Pagan, A.R. (1979): A Simple Test for Heteroscedasticity and Random Coefficient Variation. Econometrica 47, 1287-1294.

Koenker, R. (1981): A Note on Studentizing a Test for Heteroscedasticity. Journal of Econometrics 17, 107-112.

Examples

Run this code

## BP test with Koenker's studentized residuals
X <- bp.test(wage ~ educ + age, data = data.wage, koenker = FALSE)
X

## A white test for the same model (auxiliary regression specified by \code{varmod})
bp.test(wage ~ educ + age, varmod = ~ (educ + age)^2 + I(educ^2) + I(age^2), data = data.wage)

## Similar test
wh.test(wage ~ educ + age, data = data.wage)

## Plot the test result
plot(X)