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I have a doubt regarding two tests:

Breusch–Pagan test, to detect heteroscedasticity in a series, and Bartlett's test, to test for equal variances for samples from $k$ populations.

What are the difference betwen those two tests?

  • Are not those tests highly related?
  • How could a homoscedastic data give no homogeneity in the variance?
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    $\begingroup$ Did you google "homoscedasticity"? The first link, not surprisingly, is Wikipedia: en.wikipedia.org/wiki/Homoscedasticity. You will find that "homoscedasticity" and "homogeneity of variance" are the same thing. $\endgroup$
    – Wolfgang
    Commented Sep 3, 2011 at 22:47

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The aim of the B-P test is to assess whether the residuals in a linear model have constant variance, by regressing the square of the residuals on the independent variables. Bartlett's test seeks to determine whether multiple samples come from populations that all have the same variance. You could view the latter as a special case of the former, in thinking of the linear model that corresponds to a one-way ANOVA, but the details of the test statistics are rather different. I would agree that they are related, and that you could apply the former in the context in which the latter is generally used, with potentially different results.

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