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Questions tagged [breusch-pagan]

The Breusch-Pagan test is a test for heteroscedasticity in the linear model. Under the null hypothesis the model is homoscedastic.

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Apply the Breusch-Pagan to uncover the source of variance in the data

For my research I am trying to uncover if the variance of my variable of interest is correlated with one of my independent variables. Let $ x $ be the independent variable of interest and $ m $ be the ...
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Breusch Pagan test in Python

The statsmodels module in Python provides a function to perform the Breusch Pagan test: ...
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How critical/serious is the heteroscedasticity in my data (Breusch-Pagan test significant at p=.03)?

edit below I am doing this analysis for the first time. How concerned should I be about heteroscedasticity in my data? Here's the scatterplot of predicted values vs residuals: The Breusch-Pagan test ...
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Trust the graphs or go with Breusch-Pagan and White's tests for Homoscedasticity on large datasets? [duplicate]

I have a large dataset (n > 500,000) which I'm building a linear model with lm(PV1READ ~ PV1MATH + PV1SCIE + ST004D01T). Tests for Normality, No ...
pluke's user avatar
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Can I use Breusch-Pagan test to a data that need correlation test later? or should I transform the data?

I did a homogeneity test using Levene test and the result said : "warning : in anova. lm(lm(resp~group)) ANOVA F-test on an essential perfect fit are unreliable" I want to test my data with ...
Nimas Pertiwi's user avatar
1 vote
1 answer
51 views

Is It okay to ignore Breusch Pagan Test?

My data han N=90 observation, I plot my data and I don't see any peculiar plot indicating heteroscedaticity, so I run BP and other test like Goldfeld-Quandt and Harrison-McCabe, but BP return ...
tolak's user avatar
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What are the implications on prediction if a regression model with heteoscedastic errors is considered for analysis?

I have a simple linear regression model, and I tried validating if the model fit for purposes. One of the tests is Bruesch Pagan test on the residuals but the result of the test shows that the error ...
Abdul Mateen Hashim's user avatar
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Order of independent and dependent variable in Breusch-Pagan test

I've been working on my master thesis, and I've been using R to test heteroskedasticity with Breusch-Pagan test. The code is rather simple: ...
daniele's user avatar
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Breusch Pagan R test which function is correct

So I have a model: $log(y)= \beta_0 + \beta_1dog +\beta_2cat$. I want to test for heteroskedasticity using a Breusch-Pagan test and the variables cat and dog. Should by formula be ...
BathStackExchange's user avatar
5 votes
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Assessing homogeneity of variances assumption for numeric variables

I'm fitting a model with a 2-level categorical and a numerical predictor. As far as I'm concerned, I cannot use car::LeveneTest() to assess homoscedasticity since I ...
Larissa Cury's user avatar
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Model residuals are normally distributed but they are heteroscedastic and autocorrelated

I have a candidate set of five linear models, as I want to choose the model with the lowest AIC and calculate predictions from it. For each model, I have tested for normality of model residuals (...
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Why is there heteroskedasticity even though no relationship seems present in the residual plot?

I estimated a random effects panel model and performed the Breusch-Pagan (BP) test for heteroskedasticity. The test is significant, meaning that there is heteroskedasticity. However, the residual plot ...
Peter Jordanson's user avatar
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How do I confirm that HC3 has fixed Heteroscedasticity?

My data is heteroscedastic and cannot be remedied with transformations (I tried boxcox to no avail). I've recently found out about HC3 but am unsure about its effectiveness, as I've run a breusch-...
Joseph Lane's user avatar
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1 answer
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How can I test Heteroskedasticity in GAM?

I'm trying to test heteroskedasticity in different models namely in linear regreesion model, polynomial regression model, and generalized additive model. Using the ...
Debajyoti Kabiraj's user avatar
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Fixed Effects, Random Effects, Pooled OLS: Hausman and Breusch-Pagan Lagrange multiplier (LM) tests

I have encountered that whenever deciding upon the model for panel data, it is suggested to perform the Hausman test first and the Breusch-Pagan Lagrange multiplier (LM) test should be performed only ...
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Breusch-Pagan Lagrange multiplier (LM), Hausman tests

I'm working with panel data and want to decide which model I should use: pooled OLS, Random effects, or Fixed effects. When I run the Breusch-Pagan Lagrange multiplier (LM), it says pooled OLS is ...
Anna's user avatar
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How to decide whether to use robust errors in 2sls estimation

For my data, I have run both the OLS and IV regression to investigate the effects of health on salary. The BP test showed Heteroskedasticity for the OLS error terms so I decided to run the OLS ...
rainbow21's user avatar
1 vote
1 answer
539 views

Why is a Breusch-Pagan test returning significant heteroskedasticity when the fitted value chart indicates homoskedasticity?

I was working the results of a regression equation and I wanted to test to see if there was significant heteroskedasticity in the residuals. Checking the results of the graph of fitted values versus ...
user2352714's user avatar
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1 answer
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Breusch Pagan and White test always 0

I'm working on a machine learning algorithm and trying to evaluate the model based on a guide online. No matter how I change the features of the model, the results of both tests are always 0. Is there ...
ctlogan's user avatar
1 vote
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Testing for homoscedasticity using the Breusch Pagan Test

I am trying to figure out how to test for homoscedasticity. But run into a small issue. I am using this r-bloggers article as a learning resource. According to this article there is no ...
SecretIndividual's user avatar
1 vote
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440 views

Random-Effects Model: Sigma u equals zero, Breusch-Pagan Lagrange Multiplier equals 1

I have recently encountered a problem while running my Random-Effects Model. I am using an unbalanced panel data set which consists of time-invariant and time-variant variables. The time-invariant ...
Johanna Veren's user avatar
2 votes
2 answers
2k views

Chart indicates homoscedasticity but Breusch-Pagan test p<.001

I am writing my master's thesis and doing multiple regression analysis for hypotheses testing. I transformed the data using ln and use a sample with N = 15,000. As a result of the assumption test, I ...
Jane's user avatar
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How to compute P values for Breusch pagan test?

I got bptest() output for my OLS model as follows; studentized Breusch-Pagan test data: modelfit BP = 3.3201, df = 3, p-value = 0.3449 I read that BP test is ...
Dom Jo's user avatar
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Breusch–Pagan test: what exactly is the z-variable

I want to perform a Breusch-Pagan-Test. I did calculate some very small examples following the procedure described below, just to understand what the test does: found here: (https://ipfs.io/ipfs/...
Aishe's user avatar
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Questions on Heteroskedasticity - Interpretation of Data

I am dubious the presence of heteroskedasticity in my data. As you can see, I first ran my regression using robust standard errors, and the second time without. The standard errors and the robust ...
Jessica Smith's user avatar
1 vote
1 answer
1k views

R built-in Breusch-Pagan Test getting different results from manual Calculation

I was using the following code to calculate the bp-test (eaef.csv can be found here). ...
Jinhua Wang's user avatar
1 vote
0 answers
140 views

Model selection for panel data (Pooled or Panel models)

Can I use Breusch-Pagan test to decide whether to use pooled or panel models? Few people use Standard LM test for this purpose. I am using stata.
Muhammad Adeel's user avatar
2 votes
1 answer
9k views

Heteroskedasticity in logistic regression [duplicate]

I'd like to solve the heteroskedasticity in logistic regression. In my problem, I have two numeric and 23 dummies variables. I tried to transform the two numerical variables using ...
Wagner Jorge's user avatar
5 votes
1 answer
4k views

Differences between Breusch-Pagan test and Levene's test

I am trying to check homoscedasticity of Residuals to use an ANOVA in R with data with one variable and three groups. I have been checking options to do it, and I would like to know when to use a ...
Guido A. Herrera's user avatar
4 votes
1 answer
3k views

Test of heteroscedasticity for a categorical/ordinal predictor

I have different number of measurements from various classes. I used one-way anova to see if the means of the observations in each class is different from others. This used the ratio of the between-...
highBandWidth's user avatar
3 votes
1 answer
3k views

How to interpret p=0 in ncvTest?

I have constructed a linear model (model3) and I'm trying to check the model's assumptions. As far the assumption of constant variance is concerned I have written the following piece of code ...
Mewtwo's user avatar
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1 answer
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Testing for random effects: Breusch-Pagan Lagrange multiplier (LM)

So I have a panel data with two time periods. My dependent variable is an index that lies in the range of 0 to 1. I did a Breusch- Pagan test (in stata) to see whether I should use random effect or ...
jesper's user avatar
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Two versions of the Breusch-Pagan test?

I have learned (and it is the case for instance in Woolridge's Introductory Econometrics) that for testing heteroskedasticity with the BP test, the sample statistic is $nR^2_{\hat{u}^2}$, that follows ...
Anthony Martin's user avatar
2 votes
0 answers
262 views

White test confirms heteroskedasticity while Breusch-Pagan test doesn't [duplicate]

I'm using SAS in order to create a model for a cars datasets. The response variable y, is the price of the car. By the way I'm using the PROC MODEL statement in order to check heteroskedasticity. This ...
Gianlu's user avatar
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12 votes
2 answers
16k views

What is the difference between these two Breusch-Pagan Tests?

Using R on some data and trying to see whether or not my data is heteroscedastic, I've found two implementations of the Breusch-Pagan test, bptest (package lmtest) and ncvTest (package car). However, ...
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Non-normally distributed residuals for multivariate linear regression.Still a valid model?

I try to know if the independent variables are affecting the outcome of the dependent variable, but while the Shapiro-Wilk test shows residuals non-normally distributed, the autocorrelation of errors ...
Saccharo's user avatar
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2 votes
2 answers
61k views

What is criterion for Breusch-Pagan test?

Could someone explain to me what is criterion for interpretation of Breusch-Pagan test? I have applied ncvTest test from the package car in R on a simple linear regression with one predictor variable ...
Jovan MSFT's user avatar
2 votes
2 answers
7k views

Breusch-Pagan Test for ARIMA Model in R [closed]

I am testing my model using the Breusch-Pagan Test, but have not been able to find anything online regarding how to calculate it for an ARIMA Model. My AR1 Model is: ...
Ray's user avatar
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1 answer
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Breusch-Pagan Test using R [duplicate]

I'm currently working on the Breusch-Pagan Test using RStudio through the command ncvTest. I've used the dataset pipeline.txt in ...
RedViper16's user avatar
1 vote
1 answer
1k views

Why the Breusch-Pagan rejects H0 on apparently non-heteroskedastic data?

Breusch-Pagan rejects the H0 on this residuals: ...
Robert Kubrick's user avatar
4 votes
2 answers
13k views

Is it possible to use the Breusch-Pagan Lagrange multiplier test (xttest0) in Stata for unbalanced data?

Is it possible to use xttest0 in Stata with unbalanced panel data? I want to test whether the I should use pooled OLS or random effects estimation. What does this test actually do?
daja's user avatar
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4 votes
1 answer
1k views

Testing for heteroscedasticity with many observations

I used the Breusch-Pagan test for heteroscedasticity, but I have many observations ($\approx 500,\! 000$) and the Breusch-Pagan test uses $nR^2$ as a test statistic where $n$ is the number of ...
Jason Samuels's user avatar
3 votes
0 answers
444 views

Testing for multiple conditional heteroskedasticity in multivariate regression

Briefly, I am looking for an extension of the Breusch-Pagan test to the case of multivariate dependent variables. The scalar form of the test, with multiple regressors, assumes the model \begin{...
shabbychef's user avatar
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6 votes
2 answers
72k views

Breusch–Pagan test for heteroscedasticity contradicts White's test?

Testing for heteroscedasticity I get these results: Breusch–Pagan / Cook–Weisberg test for heteroskedasticity $H_0$: Constant variance $H_a$: Heteroskedasticity ...
Rijak's user avatar
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