bp {AFR}R Documentation

Breusch-Pagan test

Description

Breusch-Pagan test is used to test against heteroskedasticity of a time-series

Usage

bp(model, varformula = NULL, studentize = TRUE, data = list())

Arguments

model

is a (generalized)linear regression model

varformula

a formula describing only the potential explanatory variables for the variance (no dependent variable needed). By default the same explanatory variables are taken as in the main regression model.

studentize

logical. If set to TRUE Koenker's studentized version of the test statistic will be used.

data

an optional data frame containing the variables in the model

References

Torsten, H., Zeileis, A., Farebrother, Richard W., Cummins, C., Millo, G., Mitchell, D., lmtest package Wang, B., 2014, bstats package

Examples

model <- lm(real_gdp ~ imp + exp + poil + eurkzt + tonia_rate, data = macroKZ)
bp(model)

[Package AFR version 0.2.1 Index]