Re: [Gretl-users] LM Test

On Thu, 14 Nov 2013, Mark wrote: 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