Econometrica: Sep 1979, Volume 47, Issue 5

A Simple Test for Heteroscedasticity and Random Coefficient Variation

https://doi.org/0012-9682(197909)47:5<1287:ASTFHA>2.0.CO;2-9
p. 1287-1294

A. R. Pagan, T. S. Breusch

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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