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 sample evidence is presented to supplement the general asymptotic properties of Lagrangian multiplier tests.
Keywords
HeteroscedasticityStatisticsMathematicsCoefficient of variationSimple (philosophy)EconometricsTest (biology)Variation (astronomy)Simple random sampleDemographyPhysicsGeologySociologyPhilosophy
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Publication Info
- Year
- 1979
- Type
- article
- Volume
- 47
- Issue
- 5
- Pages
- 1287-1287
- Citations
- 5080
- Access
- Closed
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Cite This
Trevor Breusch,
A. R. Pagan
(1979).
A Simple Test for Heteroscedasticity and Random Coefficient Variation.
Econometrica
, 47
(5)
, 1287-1287.
https://doi.org/10.2307/1911963
Identifiers
- DOI
- 10.2307/1911963