Class BreuschPagan


  • public class BreuschPagan
    extends Heteroskedasticity
    The Breusch-Pagan test tests for conditional heteroskedasticity. The test statistics is computed by regressing squared residuals from the original regression against the original regressors (plus intercept). The test is a chi-squared test: the test statistic distribution is nχ2 with k degrees of freedom. If the Breush-Pagan test shows that there is conditional heteroscedasticity, it can be corrected by using the Hansen method, using robust standard errors, or re-thinking the regression equation.

    The R equivalent function is bptest.

    See Also:
    • T. S. Breusch and A. R. Pagan, "A simple test for heteroscedasticity and random coefficient variation," Econometrica 47 (5): 1287-1294, 1979.
    • R. Koenker, "A Note on Studentizing a Test for Heteroscedasticity," Journal of Econometrics 17, 107-112, 1981.
    • Wikipedia: Breusch-Pagan test
    • Constructor Detail

      • BreuschPagan

        public BreuschPagan​(LMResiduals residuals,
                            boolean studentized)
        Perform the Breusch-Pagan test to test for heteroskedasticity in a linear regression model.
        Parameters:
        residuals - the Residuals object from an OLS regression
        studentized - true if to use Koenker's studentized version of the test statistic