Description Usage Arguments Details Value References Examples
View source: R/homoskedasticity.R
Calculate a Breusch-Pegan test for heteroscedasticity
1 | bp_test(e, X)
|
e |
a vector with error terms |
X |
a dataframe with k parameter and n observations |
The Breusch-Pagan test fits a linear regression model to the residuals of a linear regression model and rejects if too much of the variance is explained by the additional explanatory variables. Under H0 the test statistic of the Breusch-Pagan test follows a chi-squared distribution with k degrees of freedom.
An htest object is returned. The critical value and the p-value are contained in the object.
T.S. Breusch & A.R. Pagan (1979), A Simple Test for Heteroscedasticity and Random Coefficient Variation. Econometrica 47, 1287–1294
R. Koenker (1981), A Note on Studentizing a Test for Heteroscedasticity. Journal of Econometrics 17, 107–112.
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