bptest {lmtest} | R Documentation |
bptest
performs the Breusch-Pagan-Test against heteroskedasticity.
raintest(formula, data=list())
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 |
The test statistic under H0 follows a chisq distribution with df degree of freedom.
"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. |
Torsten Hothorn <hothorn@amadeus.statistik.uni-dortmund.de>
Kraemer, W., Sonnberger, H. (1986): The linear regression model under test
# 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]);