How can I test heteroskedasticity of a time series in R? I have heard of two tests McLeod.Li.test and bptest (Breusch-Pagan test). Can I use these two tests? and what are the differences and assumptions of these tests if I can use them?



Breusch-Pagan test is for hetroscedasticity in regression model. It is testing the relationship between squared residuals and the covariates. You get more information in wiki

McLeod.Li.test is a test for the presence of conditional heteroscedascity. This test is used to identify the presence of ARCH/GARCH modeling. It is very similar to Ljung-Box test on squared residuals.

For time series modeling Mcleoid Li test is more appropriate heteroscedascity test than bptest.

As a suggestion, visual inspection is very important and this should be your first step before any test. Generate the residual graph and see the presence of heteroscedascity visually.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.