How do you use the breusch Pagan test in R?
Example: Breusch-Pagan Test in R
- Step 1: Fit a regression model. First, we will fit a regression model using mpg as the response variable and disp and hp as the two explanatory variables.
- Step 2: Perform a Breusch-Pagan Test. Next, we will perform a Breusch-Pagan Test to determine if heteroscedasticity is present.
What is breusch Pagan test in R?
Breusch Pagan Test was introduced by Trevor Breusch and Adrian Pagan in 1979. It is used to test for heteroskedasticity in a linear regression model. It test whether variance of errors from a regression is dependent on the values of a independent variable. Compute nR2.
How to perform a Breusch Pagan test in R-statology?
A Breusch-Pagan Test is used to determine if heteroscedasticity is present in a regression analysis. This tutorial explains how to perform a Breusch-Pagan Test in R. Example: Breusch-Pagan Test in R
When do you use the Breusch Pagan test?
A Breusch-Pagan Test is used to determine if heteroscedasticity is present in a regression analysis. This tutorial explains how to perform a Breusch-Pagan Test in R.
Why are exogenous regressors included in the ARIMA model?
The purpose and interpretation of the test are nonetheless more appropriate in the context of a regression model rather than in a model for the autocorrelation structure of a time series model. You did not mention it in the question but I noticed in the sample code that you are including exogenous regressors in the ARIMA model, X1,…,X5.
How to get the BP test statistic in R?
Some ideas on how to code or obtain the BP test statistic with an ARIMA model in R (the software that you are using according to your sample code): If you are using an AR model, then you can fit it as a linear regression model where lags of the dependent variable are included as regressors (along with the other explanatory variables).