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To verify the function AER::bptest, I manually calculate the test statistic. The manual method and R function give the same result for the Breusch-Pagan test, but not for the White test.

Am I using the bptest incorrectly, or is my manual calculation wrong?

# A heteroskedastic DGP
x <- rnorm(500)
u <- rnorm(500, sd = sqrt(abs(x)))
y <- 0.01 * x + u

# Manual
m_white <- lm(y ~ x)
uhat <- resid(m_white) ; yhat <- predict(m_white)
m_white_stage2 <- lm(I(uhat^2) ~ yhat + I(yhat^2))

# The test statistic differs!
summary(m_white_stage2)$fstatistic["value"]
bptest(m_white, ~ yhat + I(yhat^2))$statistic
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1 Answer 1

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I believe you are asking why these two results are different:

summary(m_white_stage2)$fstatistic["value"]
bptest(m_white, ~ yhat + I(yhat^2))$statistic

The reason is, the first one reports the f-statistic that will use the f distribution to to calculate the p-value. The second one returns the LM statistic that will use a chi square distribution to calculate the p-value.

For the manual calculation, you could have calculated the LM statistic and then tested the significance by continuing with:

# R2:
(r2 <- summary(m_white_stage2)$r.squared)
# LM statistic, which will be the same as bptest:
(LM <- r2*(500))
# p value for chi-squared distribution with k=3 degrees of freedom:
pchisq(LM, df=2, lower.tail=FALSE)
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