Zaman, Asad (1995): On the inconsistency of the Breusch-Pagan test. Published in: Journal of Economic and Social Research , Vol. 1, No. 2 (2000): pp. 1-11.
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The Breusch-Pagan Lagrange Multiplier test for heteroskedascity is supposedly able to detect heteroskedasticity which is an arbitrary function of some set of regressors. We will show that in fact it detects only linear functions. The test is inconsistent for general alternatives, in the sense that its power does not go to 1 as the sample size increases (and in fact, can be arbitrarily low). Since in fact the Breusch-Pagan test is essentially an F test in a special model, we also give necessary and suﬃcient conditions for the consistency of the F test under misspeciﬁcation.
|Item Type:||MPRA Paper|
|Original Title:||On the inconsistency of the Breusch-Pagan test|
|Keywords:||heteroskedasticity; Breusch-Pagan test; test consistency; F test|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General|
|Depositing User:||Asad Zaman|
|Date Deposited:||12. Aug 2008 01:03|
|Last Modified:||12. Feb 2013 08:04|
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