Re: [Gretl-users] Breusch-Pagan test for Heteroskedasticity (Gretl-users Digest, Vol 100, Issue 3)
Am 04.05.2015 um 18:03 schrieb Graham Stark:
On Mon, 2015-05-04 at 18:34 +0300, Alecos Papadopoulos wrote:
> But these are only asymptotically equivalent, and in practice
the
> estimated sigma^4 is involved, whose estimation is seriously
> biased in any case for samples much larger than yours.
>
OK, thanks everybody. I think I get it, and sorry for not going
back to the source.
What brought this up was a student using both the White and
Breusch-Pagan tests and seeing (as you do) completely different P-
values for each (0.485 vs 0.000360) So, how can I explain that to
him? I initially thought there had to be a mistake since in my
mind the Breusch-Pagan test was just the White test with some
interaction terms taken out, but I see now that's not the case.
I haven't followed this thread closely and cannot guarantee that my
comment really hits the target, but when I see that "sigma^4" needs to
be estimated then I immediately think of sensitivity to outliers or
other problems with the shape of the distribution of
residuals/innovations that might affect one statistic and not the other.
-s