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RE: estat hettest: Breusch-Pagan Test


From   "Scott Merryman" <smerryman@kc.rr.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: estat hettest: Breusch-Pagan Test
Date   Mon, 3 Apr 2006 10:26:42 -0500

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Michael S. Hanson
> Sent: Monday, April 03, 2006 9:04 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: estat hettest: Breusch-Pagan Test

<snip> 

> 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..."

Scott


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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