Breusch pagan test
Test for constant variance. It assumes that the error terms are normally distributed.
ols_test_breusch_pagan(model, fitted.values = TRUE, rhs = FALSE,
multiple = FALSE, p.adj = c("none", "bonferroni", "sidak", "holm"),
vars = NA)model |
An object of class |
fitted.values |
Logical; if TRUE, use fitted values of regression model. |
rhs |
Logical; if TRUE, specifies that tests for heteroskedasticity be performed for the right-hand-side (explanatory) variables of the fitted regression model. |
multiple |
Logical; if TRUE, specifies that multiple testing be performed. |
p.adj |
Adjustment for p value, the following options are available: bonferroni, holm, sidak and none. |
vars |
Variables to be used for heteroskedasticity test. |
Breusch Pagan Test was introduced by Trevor Breusch and Adrian Pagan in 1979. It is used to test for heteroskedasticity in a linear regression model. It test whether variance of errors from a regression is dependent on the values of a independent variable.
Null Hypothesis: Equal/constant variances
Alternative Hypothesis: Unequal/non-constant variances
Computation
Fit a regression model
Regress the squared residuals from the above model on the independent variables
Compute nR^2. It follows a chi square distribution with p -1 degrees of freedom, where p is the number of independent variables, n is the sample size and R^2 is the coefficient of determination from the regression in step 2.
ols_test_breusch_pagan returns an object of class "ols_test_breusch_pagan".
An object of class "ols_test_breusch_pagan" is a list containing the
following components:
bp |
breusch pagan statistic |
p |
p-value of |
fv |
fitted values of the regression model |
rhs |
names of explanatory variables of fitted regression model |
multiple |
logical value indicating if multiple tests should be performed |
padj |
adjusted p values |
vars |
variables to be used for heteroskedasticity test |
resp |
response variable |
preds |
predictors |
ols_bp_test() has been deprecated. Instead use ols_test_breusch_pagan().
T.S. Breusch & A.R. Pagan (1979), A Simple Test for Heteroscedasticity and Random Coefficient Variation. Econometrica 47, 1287–1294
Cook, R. D.; Weisberg, S. (1983). "Diagnostics for Heteroskedasticity in Regression". Biometrika. 70 (1): 1–10.
Other heteroskedasticity tests: ols_test_bartlett,
ols_test_f, ols_test_score
# model model <- lm(mpg ~ disp + hp + wt + drat, data = mtcars) # use fitted values of the model ols_test_breusch_pagan(model) # use independent variables of the model ols_test_breusch_pagan(model, rhs = TRUE) # use independent variables of the model and perform multiple tests ols_test_breusch_pagan(model, rhs = TRUE, multiple = TRUE) # bonferroni p value adjustment ols_test_breusch_pagan(model, rhs = TRUE, multiple = TRUE, p.adj = 'bonferroni') # sidak p value adjustment ols_test_breusch_pagan(model, rhs = TRUE, multiple = TRUE, p.adj = 'sidak') # holm's p value adjustment ols_test_breusch_pagan(model, rhs = TRUE, multiple = TRUE, p.adj = 'holm')
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