ols_test_breusch_pagan: Breusch pagan test

In olsrr: Tools for Building OLS Regression Models

Breusch pagan test

Description

Test for constant variance. It assumes that the error terms are normally distributed.

Usage

ols_test_breusch_pagan(
  model,
  fitted.values = TRUE,
  rhs = FALSE,
  multiple = FALSE,
  p.adj = c("none", "bonferroni", "sidak", "holm"),
  vars = NA
)

Arguments

model	An object of class lm.
fitted.values	Logical; if TRUE, use fitted values of regression model.
rhs	Logical; if TRUE, specifies that tests for heteroskedasticity be performed for the right-hand-side (explanatory) variables of the fitted regression model.
multiple	Logical; if TRUE, specifies that multiple testing be performed.
p.adj	Adjustment for p value, the following options are available: bonferroni, holm, sidak and none.
vars	Variables to be used for heteroskedasticity test.

Details

Breusch Pagan Test was introduced by Trevor Breusch and Adrian Pagan in 1979. It is used to test for heteroskedasticity in a linear regression model. It test whether variance of errors from a regression is dependent on the values of a independent variable.

• Null Hypothesis: Equal/constant variances

• Alternative Hypothesis: Unequal/non-constant variances

Computation

• Fit a regression model

• Regress the squared residuals from the above model on the independent variables

• Compute nR^2. It follows a chi square distribution with p -1 degrees of freedom, where p is the number of independent variables, n is the sample size and R^2 is the coefficient of determination from the regression in step 2.

Value

ols_test_breusch_pagan returns an object of class "ols_test_breusch_pagan". An object of class "ols_test_breusch_pagan" is a list containing the following components:

bp	breusch pagan statistic
p	p-value of bp
fv	fitted values of the regression model
rhs	names of explanatory variables of fitted regression model
multiple	logical value indicating if multiple tests should be performed
padj	adjusted p values
vars	variables to be used for heteroskedasticity test
resp	response variable
preds	predictors

References

T.S. Breusch & A.R. Pagan (1979), A Simple Test for Heteroscedasticity and Random Coefficient Variation. Econometrica 47, 1287–1294

Cook, R. D.; Weisberg, S. (1983). "Diagnostics for Heteroskedasticity in Regression". Biometrika. 70 (1): 1–10.

See Also

Other heteroskedasticity tests: ols_test_bartlett(), ols_test_f(), ols_test_score()

Examples

# model
model <- lm(mpg ~ disp + hp + wt + drat, data = mtcars)

# use fitted values of the model
ols_test_breusch_pagan(model)

# use independent variables of the model
ols_test_breusch_pagan(model, rhs = TRUE)

# use independent variables of the model and perform multiple tests
ols_test_breusch_pagan(model, rhs = TRUE, multiple = TRUE)

# bonferroni p value adjustment
ols_test_breusch_pagan(model, rhs = TRUE, multiple = TRUE, p.adj = 'bonferroni')

# sidak p value adjustment
ols_test_breusch_pagan(model, rhs = TRUE, multiple = TRUE, p.adj = 'sidak')

# holm's p value adjustment
ols_test_breusch_pagan(model, rhs = TRUE, multiple = TRUE, p.adj = 'holm')

olsrr documentation built on May 29, 2024, 12:35 p.m.