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.

Filter by
Sorted by
Tagged with
0
votes
1answer
55 views

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 ...
1
vote
0answers
31 views

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 ...
0
votes
0answers
14 views

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 ...
1
vote
0answers
8 views

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 ...
0
votes
1answer
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 ...
0
votes
0answers
26 views

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? $25? 50? 100$?
0
votes
1answer
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 ...
1
vote
0answers
135 views

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 ...
1
vote
0answers
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 ...
2
votes
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 ...
0
votes
1answer
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 ...
1
vote
1answer
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/...
1
vote
0answers
183 views

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 ...
0
votes
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). ...
1
vote
0answers
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.
1
vote
1answer
7k 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 ...
1
vote
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 ...
3
votes
1answer
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-...
2
votes
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 ...
0
votes
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 ...
1
vote
0answers
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 ...
2
votes
0answers
214 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 ...
10
votes
2answers
12k 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, ...
1
vote
0answers
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 ...
3
votes
2answers
46k 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 ...
2
votes
2answers
5k 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: ...
0
votes
1answer
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 ...
1
vote
1answer
1k views

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

Breusch-Pagan rejects the H0 on this residuals: ...
4
votes
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?
2
votes
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 ...
3
votes
0answers
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{...
6
votes
2answers
66k 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 ...