BPAGAN: Stata module to perform Breusch-Pagan test for heteroskedasticity
Abstractbpagan computes the Breusch-Pagan Lagrange multiplier test for heteroskedasticity in the error distribution, conditional on a set of variables which are presumed to influence the error variance. The test statistic, a Lagrange multiplier measure, is distributed Chi-squared(p) under the null hypothesis of homoskedasticity. This routine appears in STB-55.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S390602.
Programming language: Stata
Requires: Stata version 6.0
Date of creation: 20 Sep 1999
Date of revision:
Note: This module may be installed from within Stata by typing "ssc install bpagan, replace". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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