On Sat, 13 Oct 2012, Afrae Hassouni wrote:
Hello,
Is there a way to perform a White test (testing heteroscedasticity)
under R?
White's test is a special case of the Breusch-Pagan test using a
particular choice of auxiliary regressors. The Breusch-Pagan test is
available in bptest() from "lmtest" or ncvTest() from "car". A worked
example on how to perform the White test with bptest is provided in
help("CigarettesB", package = "AER"), based on an example from Baltagi's
"Econometrics" textbook:
library("AER")
data("CigarettesB", package = "AER")
cig_lm2 <- lm(packs ~ price + income, data = CigarettesB)
bptest(cig_lm2,
~ income * price + I(income^2) + I(price^2),
data = CigarettesB)
hth,
Z
Best regards,
Afrae Hassouni
______________________________________________
R-help@r-project.org mailing list
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
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.
