> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Michael S. Hanson
> Sent: Monday, April 03, 2006 9:04 AM
> To: [email protected]
> 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.
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
