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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.

The Breusch-Pagan test was developed in 1979 by Andre Breusch und Trevor Pagan. It consists of three steps:

  1. Estimate the model by OLS and obtain its residuals.
  2. Estimate an auxiliary regression of squared residuals on independent variables.
  3. The test statistic is the product of the coefficient of determination of the auxiliary regression in Step 2 and sample size $n$: $LM = n R^2$.

Software implementations:

  • In R, ncvTest available in the car package, bptest available in the lmtest package, plmtest available in the plm package
  • In Stata, one specifies the full regression, and then enters the command estat hettest followed by all independent variables
  • In SAS, use the Proc Model option
  • In Python, method het_breushpagan in statsmodels.stats.diagnostic (the statsmodels package)
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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, these produce different results. What is the…
Mien
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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 Variables: fitted values of log_expdu chi2(1) = 21.41 Prob > chi2 = …
Rijak
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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?
daja
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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-class variance to the total variance. Now, I want…
highBandWidth
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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{equation} \begin{split} y &= \vec{\beta}^{\top} \vec{x}…
shabbychef
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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 got the following scatterplot. The scatter plot…
Jane
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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 log, min-max normalization and standard normal transformation but the…
Wagner Jorge
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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 Breusch-Pagan test or a Levene's test? As I…
Guido A. Herrera
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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 #constant…
Mewtwo
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White test confirms heteroskedasticity while Breusch-Pagan test doesn't

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 is the output: …
Gianlu
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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 e.g. lm(weight~size). I have the following…
Jovan MSFT
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Breusch-Pagan Test for ARIMA Model in R

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: ar1 <- arima(x = datasource[, "Y"], order = c(1, 0, 0), xreg = datasource[,…
Ray
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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 observations. But with the Breusch-Pagan test I will…
Jason Samuels
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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 ols_test_breusch_pagan function library(olsrr) I can test heteroskedasticity for…
Debajyoti Kabiraj
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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 preferred. Yet, according to Hausman Test, the Fixed…
Anna
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