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bpagan0

Breusch and Pagan heteroskedasticity test

CALLING SEQUENCE

[nvar2,f,f_pvalue,r2]=bpagan0(u2,x2,nvar)

PARAMETERS

Input

* u2 = the first stage regression squared residuals

* x2 = the exogenous variables of the Breusch and Pagan second stage regression

* nvar = number of exogenous variables in the first satge regression

 

Output

* nvar2 = # of exogenous variables of the Breusch and Pagan second stage regression

* f = value of the Goldfeld-Quandt F test

* f_pvalue = its p-value

* r2 = R² of the auxilliary regression

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 given only in constant form and not printed.

EXAMPLE

[nvar2,f,f_pvalue]=bpagan0(u2,x2,nvar)
// Example taken from function bpagan. Useful mainly for programming purpose (since bkw does much more).

AUTHOR

Eric Dubois 2002

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