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bpagan

Breusch and Pagan heteroskedasticity test

CALLING SEQUENCE

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

PARAMETERS

Input

* resulols = results tlist from a first stage estimation

* argi = arguments of the second stage regression, which can be:

  - a time series

  - a real (nxp) vector

  - a string equal to the name of a time series or a (nxp) real vector between quotes

  - the string 'noprint' if the user doesn't want to print the results of the regression

 

Output

* resulbp = a results tlist with:

  - resulbp('meth') = 'bpagan'

  - resulbp('resul1st') = results tlist of the first stage regression

  - resulbp('u2') = sum of square residuals from the first stage regression

  - resulbp('namex2') = names of the exogenous variables in the second stage regression

  - resulbp('x2') = vector of the exogenous variables in the second stage regression

  - resulbp('f') = Breush-Pagan LM-statistic (Fisher form)

  - resulbp('p') = p-value of the test

  - resulbp('dfnum') = degrees of freedom of the numerator

  - resulbp('dfden') = degrees of freedom of the denominator

  - resulbp('f_pvalue) = p-value of the test

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

load(GROCERDIR+'/data/bdhenderic.dat');
bounds('1964q3','1989q2');
rols=ols('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet', 'lagts(1,lm1-lp-ly)', 'const');
// performs ols for Hendry and Ericsson (1991) equation 6
bpagan(rols,'delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte','(delts(lp))^2', '(delts(lagts(1,lm1-lp-ly)))^2','(rnet)^2','(lagts(1,lm1-lp-ly))^2')
// Example 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

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