Re: [Gretl-users] LM Test
On Thu, 14 Nov 2013, Giuseppe Vittucci wrote:
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.
But note also that gretl implements Koenker's robust variant of the 1979
B-P test (you add the --robust option to modtest --breusch-pagan).
Allin