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A Simple Test for Heteroscedasticity and Random Coefficient Variation
T. S. Breusch
A. R. Pagan
Abstract
A simple test for heteroscedastic disturbances in a linear regression model is developed using the framework of the Lagrangian multiplier test. For a wide range of heteroscedastic and random coefficient specifications, the criterion is given as a readily computed function of the OLS residuals. Some finite sampleevidence is presented to supplement the general asymptotic properties of Lagrangian multiplier tests.
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