Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

A Simple Test for Heteroscedasticity and Random Coefficient Variation

T. S. Breusch and A. R. Pagan
Econometrica
Vol. 47, No. 5 (Sep., 1979), pp. 1287-1294
Published by: The Econometric Society
DOI: 10.2307/1911963
Stable URL: http://www.jstor.org/stable/1911963
Page Count: 8
  • Read Online (Free)
  • Download ($10.00)
  • Subscribe ($19.50)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
A Simple Test for Heteroscedasticity and Random Coefficient Variation
Preview not available

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 sampleevidence is presented to supplement the general asymptotic properties of Lagrangian multiplier tests.

Page Thumbnails

  • Thumbnail: Page 
1287
    1287
  • Thumbnail: Page 
1288
    1288
  • Thumbnail: Page 
1289
    1289
  • Thumbnail: Page 
1290
    1290
  • Thumbnail: Page 
1291
    1291
  • Thumbnail: Page 
1292
    1292
  • Thumbnail: Page 
1293
    1293
  • Thumbnail: Page 
1294
    1294