[Gretl-users] Re: Breush Pagan test

OK, this is more interesting than I thought (and I'd welcome comments/criticism from others). Salvatore's question is prompted by a difference in results between gretl's Breusch-Pagan test for heteroskedasticity (via the command modtest --breusch-pagan) and the test as implemented in Eviews. First point: on the face of it there's a difference between the test actually proposed by Breusch and Pagan (Econometrica, 1979), which I'll call Test1, and that performed in Eviews, which I'll call Test2.