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RE: estat hettest: Breusch-Pagan Test
> -----Original Message-----
> From: email@example.com [mailto:owner-
> firstname.lastname@example.org] On Behalf Of Michael S. Hanson
> Sent: Monday, April 03, 2006 9:04 AM
> To: email@example.com
> Subject: estat hettest: Breusch-Pagan Test
> Can anyone comment on this difference?
Greene (Econometric Analysis, 4th ed, p. 510) remarks that "it has been
argued that the Breusch-Pagan Lagrange multiplier test is quite sensitive to
the assumption of normality. Koenker (1981) and Koenker and Bassett (1982)
suggest that the computation of LM be based on a more robust estimator of
the variance of e_i^2..."
Koenker, R. (1981). "A note on Studentizing a test for heteroscedasticity,"
Journal of Econometrics, 17, 107-112.
Koenker, R., and G. Bassett (1982). "Robust Tests for Heteroscedasticity
Based on Regression Quantiles," Econometrica, 50, 43-61.
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