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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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 ...
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Heteroskedasticity testing with Breusch-Pagan in R, two functions — very different answers?

I am currently testing two different functions in R to determine heteroskedasticity in a regression model with 4 predictors, 2 continuous and 2 categorical. One function is telling me there is a high ...
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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 ...
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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 ...
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65 views

Difference between Breusch-Pagan test and Honda's test for time fixed effects in plmtest

I am trying to decide whether to include time fixed effects in my model. ...
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2answers
159 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 ...
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1answer
113 views

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 ...
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1answer
265 views

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/...
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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 ...
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1answer
513 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). ...
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118 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.
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1answer
5k views

Heteroskedasticity in logistic regression

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 ...
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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 ...
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1answer
1k 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-...
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1answer
2k 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 ...
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1answer
13k views

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 ...
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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 ...
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179 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 ...
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10k 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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1k views

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 ...
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2answers
36k 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 ...
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2answers
4k 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: ...
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1answer
2k views

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

Breusch-Pagan rejects the H0 on this residuals: ...
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2answers
10k 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?
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1answer
583 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 ...
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351 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{...
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64k 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 ...