On Mon, 4 Apr 2016, varin sacha via R-help wrote:
Hi Deepak,
In econometrics there is another test very often used : the white test.
The white test is based on the comparison of the estimated variances of
residuals when the model is estimated by OLS under the assumption of
homoscedasticity and when the model is estimated by OLS under the
assumption of heteroscedastic.
The White test is a special case of the Breusch-Pagan test using a
particular specification of the auxiliary regressors: namely all
regressors, their squares and their cross-products. As this specification
makes only sense if all regressors are continuous, many implementations
have problems if there are already dummy variables, interactions, etc. in
the regressor matrix. This is also the reason why bptest() from "lmtest"
uses a different specification by default. However, you can utilize the
function to carry out the White test as illustrated in:
example("CigarettesB", package = "AER")
(Of course, the AER package needs to be installed first.)
The White test with R
install.packages("bstats")
library(bstats)
white.test(LinearModel)
That package is no longer on CRAN as it took the code from bptest()
without crediting its original authors and released it in a package that
conflicted with the original license. Also, the implementation did not
check for potential problems with dummy variables or interactions
mentioned above.
So the bptest() implementation from "lmtest" is really recommend. Or
alternatively ncvTest() from package "car".
Hope this helps.
Sacha
________________________________
De : Deepak Singh <sdeepakrh...@gmail.com>
À : r-help@r-project.org
Envoyé le : Lundi 4 avril 2016 10h40
Objet : [R] Test for Homoscedesticity in R Without BP Test
Respected Sir,
I am doing a project on multiple linear model fitting and in that project I
have to test Homoscedesticity of errors I have google for the same and
found bptest for the same but in R version 3.2.4 bp test is not available.
So please suggest me a test on homoscedesticity ASAP as we have to submit
our report on 7-04-2016.
P.S. : I have plotted residuals against fitted values and it is less or
more random.
Thank You !
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
______________________________________________
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
______________________________________________
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
