Grocer Function

NAME

bpagan - Breusch and Pagan heteroskedasticity test

CALLING SEQUENCE

[resulbp]=bpagan(resulols,arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Computes Breusch and Pagan heteroskedasticity test with the exogenous second stage variables provided by the user (see Breusch, T.S. and A.R. Pagan (1979): "A simple test for heteroscedasticity and random coefficient variation", Econometrica 47, 1287-1294). Results are stored in a tlist and displayed on screen.

EXAMPLE

bpagan(rols,'del(lp)','del(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte','(del(lp))^2', '(del(lagts(1,lm1-lp-ly)))^2','(rnet)^2','(lagts(1,lm1-lp-ly))^2')

This example is taken from bpagan_d. The first stage result comes from the estimation of Hendry and Ericsson equation # 6. The second stage exogenous variables are the squares of all exogenous variables of the first stage regression.

AUTHOR

Eric Dubois 2002