dev.nm.stat.test.regression.linear.heteroskedasticity

Class BreuschPagan

java.lang.Object

dev.nm.stat.test.HypothesisTest

dev.nm.stat.test.regression.linear.heteroskedasticity.Heteroskedasticity

dev.nm.stat.test.regression.linear.heteroskedasticity.BreuschPagan

public class BreuschPagan
extends Heteroskedasticity

The Breusch-Pagan test tests for conditional heteroskedasticity. The test statistics is computed by regressing squared residuals from the original regression against the original regressors (plus intercept). The test is a chi-squared test: the test statistic distribution is nχ² with k degrees of freedom. If the Breush-Pagan test shows that there is conditional heteroscedasticity, it can be corrected by using the Hansen method, using robust standard errors, or re-thinking the regression equation.

The R equivalent function is bptest.

See Also:

• T. S. Breusch and A. R. Pagan, "A simple test for heteroscedasticity and random coefficient variation," Econometrica 47 (5): 1287-1294, 1979.
• R. Koenker, "A Note on Studentizing a Test for Heteroscedasticity," Journal of Econometrics 17, 107-112, 1981.
• Wikipedia: Breusch-Pagan test

Field Summary

Fields inherited from class dev.nm.stat.test.regression.linear.heteroskedasticity.Heteroskedasticity

N, residuals

Constructor Summary

Constructors

Constructor and Description
BreuschPagan(LMResiduals residuals, boolean studentized) Perform the Breusch-Pagan test to test for heteroskedasticity in a linear regression model.

Method Summary

Modifier and Type	Method and Description
OLSRegression	getAuxiliaryRegression() Define the transformation of residuals.
double	statistics() Get the test statistics.

Methods inherited from class dev.nm.stat.test.regression.linear.heteroskedasticity.Heteroskedasticity

getAlternativeHypothesis, getAuxiliaryOLSRegression, getNullHypothesis, getX2, pValue

Methods inherited from class dev.nm.stat.test.HypothesisTest

isNullRejected, nGroups, nObs, oneSidedPvalue

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BreuschPagan

public BreuschPagan(LMResiduals residuals,
                    boolean studentized)

Perform the Breusch-Pagan test to test for heteroskedasticity in a linear regression model.

Parameters:

residuals - the Residuals object from an OLS regression

studentized - true if to use Koenker's studentized version of the test statistic

Method Detail

getAuxiliaryRegression

public OLSRegression getAuxiliaryRegression()

Description copied from class: Heteroskedasticity

Define the transformation of residuals.

Specified by:

getAuxiliaryRegression in class Heteroskedasticity

Returns:

an auxiliary regression

statistics

public double statistics()

Description copied from class: HypothesisTest

Get the test statistics.

Overrides:

statistics in class Heteroskedasticity

Returns:

the test statistics

See Also:

Wikipedia: Test statistic