lmtest (version 0.2-1)

bptest: Breusch-Pagan-Test

Description

bptest performs the Breusch-Pagan-Test against heteroskedasticity.

Usage

bptest(formula, data=list())

Arguments

formula

a symbolic describtion for the model to be tested

data

an optional data frame containing the variables in the model. By default the variables are taken from the environment which 'bptest' is called from

Value

• A list with class "htest" containing the following components:
• statistic
  the value of the test statistic.
• p.value
  the p-value of the test.
• method
  a character string indicating what type of test was performed.
• data.name
  a character string giving the name(s) of the data.

Details

The test statistic under H0 follows a chisq distribution with df degree of freedom.

References

Kraemer, W., Sonnberger, H. (1986): The linear regression model under test

See Also

lm

Examples

# generate a regressor;
x <- sort(runif(50,-10,10));
# generate heteroskedastic disturbances
err <- c(rnorm(25,0,1),rnorm(25,0,10));
# generate a linear relationship
y <- 2*x + err;
# perform Breusch-Pagan
bp <- bptest(y~x-1);
# calculate quantil
qchisq(0.95, bp$parameter[1]);