Breusch-Pagan-Test
Usage
raintest(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
|
Description
bptest
performs the Breusch-Pagan-Test against heteroskedasticity.Details
The test statistic under H0 follows a chisq distribution with df degree
of freedom.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.
|
Author(s)
Torsten Hothorn <hothorn@amadeus.statistik.uni-dortmund.de>References
Kraemer, W., Sonnberger, H. (1986): The linear regression model
under testSee 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]);