Re: [Gretl-users] LM Test

On Thu, 14 Nov 2013, Giuseppe Vittucci wrote: > Hi, > > the version of the test that Mark computed is the same version discussed > by Wooldridge (2013) under the header of Breusch-Pagan test. > > But this form of the test was suggested by Koenker (1981) > and it is a generalization of the heteroskedasticity test proposed by > Breusch and Pagan (1979). > > The original Breusch-Pagan LM test (the one computed using the > hettest command in Stata and the gretl built-in command) is less general > as it requires normality of the errors. But note also that gretl implements Koenker's robust variant of the 1979 B-P test (you add the --robust option to modtest --breusch-pagan).

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