Re: [Gretl-users] Pagan Heteroskedasticity Test
On Mon, 4 May 2015, Allin Cottrell wrote:
On Mon, 4 May 2015, Graham Stark wrote:
> I'm puzzled by the output of the Breusch-Pagan Heterokskedasticity test
>
> The example here:
>
> http://virtual-worlds-research.com/ou/econometrics/hetero_test.zip
>
> shows me attempting to replicate Gretl's Breusch-Pagan and White tests
> on a simple teaching dataset. The White Test is identical but the Pagan
> test is very different from how I always thought you did it. Apologies
> if I've misunderstood what you're doing.
The Breusch-Pagan test we compute is the one defined by Breusch and Pagan in
their 1979 Econometrica article. The dependent variable in their auxiliary
regression is the scaled squared residual from OLS estimation.
This is interesting.
The test itself is computed as 0.5*(explained ssq) of the auxiliary
regression; however, it stands to intuition (if not to reason) that the
T*R^2 form should at least be asymptotically equivalent. What we do
matches exactly what the R package "car" does (ncvTest), and Stata's
"hettest" too. But, for example, the "bptest" command from CRAN's
"bptest"
seems to go with the TR^2 form.
I'll have to think about it.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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