Re: [Gretl-users] LM Test
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.
The two tests can have different outcomes.
See you
Giuseppe
O
n Thu, 2013-11-14 at 15:30 +0000, Allin Cottrell wrote:
> How is the LM test calculated for Gretl for just a standard model.
The Breusch-Pagan LM test for heteroskedasticity is calculated as per the
authors' 1979 Econometrica article (vol. 47, no. 5). That is, it is one
half of the explained sum of squares from a regression of the squared
residuals from the original OLS model, scaled by the MLE of the error
variance, on the original regressors.
Manual computation of the test statistic would look like this:
<hansl>
ols y const X
series u2 = $uhat^2
scalar sigma2 = $ess/$T
series g = u2/sigma2
ols g const X
scalar RSS = sst(g) - $ess
scalar LM = 0.5 * RSS
</hansl>
Allin Cottrell
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users