public class BreuschPagan extends Heteroskedasticity
bptest.N, residuals| Constructor and Description |
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BreuschPagan(LMResiduals residuals,
boolean studentized)
Perform the Breusch-Pagan test to test for heteroskedasticity in a linear regression model.
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| Modifier and Type | Method and Description |
|---|---|
OLSRegression |
getAuxiliaryRegression()
Define the transformation of residuals.
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double |
statistics()
Get the test statistics.
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getAlternativeHypothesis, getAuxiliaryOLSRegression, getNullHypothesis, getX2, pValueisNullRejected, nGroups, nObs, oneSidedPvaluepublic BreuschPagan(LMResiduals residuals, boolean studentized)
residuals - the Residuals object from an OLS regressionstudentized - true if to use Koenker's studentized version of the test statisticpublic OLSRegression getAuxiliaryRegression()
HeteroskedasticitygetAuxiliaryRegression in class Heteroskedasticitypublic double statistics()
HypothesisTeststatistics in class HeteroskedasticityCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.