help for ^bpagan^                          (SSC distribution 20 September 1999)

Calculate the Breusch-Pagan LM statistic after @regress@ --------------------------------------------------------

^bpagan^ varlist [if] [in]

^bpagan^ is for use after ^regress^; see help @regress@.

Description -----------

^bpagan^ computes the Breusch-Pagan (1979) 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. The test is asymptotically equivalent to White's (1980) general test for heteroskedasticity if the same auxiliary variables are specified (for White's test, all distinct regressors, cross-products and squares of regressors). See Greene (2000), pp. 507-511.

The command displays the test statistic, degrees of freedom and P-value, and places values in the return array. ^return list^ for details.

Note: this test should not be confused with another Breusch-Pagan test implemented in Stata's ^mvreg^ for the independence of error vectors in a multivariate setting.

Examples --------

. ^gen is2 = isales^2^ . ^gen lis = log(isales)^ . ^regress csales isales^ . ^bpagan isales is2 lis^

References ----------

Breusch, T. and A. Pagan. "A Simple Test for Heteroskedasticity and Random Coefficient Variation." Econometrica, 47, 1979, 1287-1294.

Greene, W. Econometric Analysis. 4th ed., 2000. New York: Prentice-Hall.

Authors -------

Christopher F Baum, Boston College, USA baum@@bc.edu

Vince Wiggins, Stata Corporation vwiggins@@stata.com

Also see --------

Manual: ^[R] regress^, ^[R] regression diagnostics^ On-line: help for @regdiag@, @regress@