

bptest(lmtest)                               R Documentation

_B_r_e_u_s_c_h_-_P_a_g_a_n_-_T_e_s_t

_D_e_s_c_r_i_p_t_i_o_n_:

     `bptest' performs the Breusch-Pagan-Test against het-
     eroskedasticity.

_U_s_a_g_e_:

     raintest(formula, data=list())

_A_r_g_u_m_e_n_t_s_:

 formula: a symbolic describtion for the model to be tested

    data: an optional data frame containing the variables in
          the model.  By default the variables are taken
          from the environment which 'bptest' is called from

_D_e_t_a_i_l_s_:

     The test statistic under H0 follows a chisq distribu-
     tion with df degree of freedom.

_V_a_l_u_e_:

     A list with class `"htest"' containing the following
     components:

statistic: the value of the test statistic.

 p.value: the p-value of the test.

  method: a character string indicating what type of test
          was performed.

data.name: a character string giving the name(s) of the
          data.

_A_u_t_h_o_r_(_s_)_:

     Torsten Hothorn <hothorn@amadeus.statistik.uni-dort-
     mund.de>

_R_e_f_e_r_e_n_c_e_s_:

     Kraemer, W., Sonnberger, H. (1986): The linear regres-
     sion model under test

_S_e_e _A_l_s_o_:

     `lm'

_E_x_a_m_p_l_e_s_:

     # generate a regressor;
     x <- sort(runif(50,-10,10));
     # generate heteroskedastic disturbances
     err <- c(rnorm(25,0,1),rnorm(25,0,10));
     # generate a linear relationship
     y <- 2*x + err;
     # perform Breusch-Pagan
     bp <- bptest(y~x-1);
     # calculate quantil
     qchisq(0.95, bp$parameter[1]);

