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BPAGAN: Stata module to perform Breusch-Pagan test for heteroskedasticity

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

  • Vince Wiggins

    ()
    (Stata Corporation)

Abstract

bpagan 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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File URL: http://fmwww.bc.edu/repec/bocode/b/bpagan.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/b/bpagan.hlp
File Function: help file
Download Restriction: no

Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S390602.

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Programming language: Stata
Requires: Stata version 6.0
Date of creation: 20 Sep 1999
Date of revision:
Handle: RePEc:boc:bocode:s390602

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
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: residual diagnostics; heteroskedasticity;

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