[Gretl-users] Breusch-Pagan test for Heteroskedasticity (Gretl-users Digest, Vol 100, Issue 3)

Darryl Holden d.holden at strath.ac.uk
Tue May 5 07:04:30 EDT 2015

Can I make my first contribution to this list, regarding Breusch-Pagan's het test. My understanding is that the original statistic requires disturbance term normality for the chi-square limiting distribution to apply and the (also implemented by Gretl) reworking by Koenker does not (hence the description of Koenker as a `robust' statistic I assume. It's just a matter of the consistent estimation of an unknown parameter and BP use a relationship between fourth and second moments which requires normality in doing this). I always teach my students to use Koenker. IMHO Gretl should present Koenker only and describe is as (something like) the Breush-Pagan-Koenker test for heteroscedasticity.

D Holden

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