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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Why does the Breusch Pagan test use unstandardized residuals and predicted values?

If I understand correctly, there are different ways to test for heteroscedasticity. I first learned to do it by looking at a scatterplot of standardized residuals vs. standardized predicted values. I ...
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168 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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401 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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112 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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3k 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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813 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 ...
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831 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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1k 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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11k 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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143 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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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 ...
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28k 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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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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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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1k views

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

Breusch-Pagan rejects the H0 on this residuals: ...
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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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504 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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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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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 ...