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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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 ...
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Heteroskedasticity Arima Residuals with Xregs using Breusch Pagan
I know there are several related questions, but my question is very specific. If I want to test the heteroskedasticity of the residuals of an Arima model with external regressors, what formula should ...
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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 ...
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64 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 ...
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What is the minimum sample size for a heteroskedasticity test (e.g Breusch-Pagan)?
How many observations are at least needed for the tests to be valid?
$25? 50? 100$?
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163 views
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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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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153 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 ...
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2answers
641 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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302 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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372 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
675 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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121 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
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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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1answer
2k 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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2k 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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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
17k 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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134 views
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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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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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
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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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3k 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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1answer
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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2answers
11k 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
671 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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375 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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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
...
