Econometrica: Sep 1979, Volume 47, Issue 5
A Simple Test for Heteroscedasticity and Random Coefficient Variation
A. R. Pagan, T. S. BreuschA 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.
Log In To View Full Content