On Mon, 4 May 2015, Graham Stark wrote: 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. Here's how it can be replicated using your dataset: <hansl> open ema01.gdt --quiet l_totas = log(totas) l_empl = log(empl) l_rdexp = log(rdexp) l_turn = log(turn) ols l_turn const l_empl l_totas l_rdexp modtest --breusch-pagan # Breusch-Pagan test by hand s2 = $ess / $T series u2s = $uhat^2 / s2 ols u2s const l_totas l_empl l_rdexp RSS = sst(u2s) - $ess ptest_stat = RSS/2 ptest_p = pvalue(c, $ncoeff-1, ptest_stat) printf "test = %g, p-value = %g\n", ptest_stat, ptest_p </hansl> Note that we also offer Koenker's robust variant of the above (add the --robust flag). In that case the test would be: <hansl> # Robust B-P test by hand s2 = $ess / $T V = sst($uhat^2 - s2) / $T series u2s = $uhat^2 - s2 ols u2s const l_totas l_empl l_rdexp RSS = sst(u2s) - $ess ptest_stat = RSS/V ptest_p = pvalue(c, $ncoeff-1, ptest_stat) printf "test = %g, p-value = %g\n", ptest_stat, ptest_p </hansl> Allin Cottrell