[R] White test

Achim Zeileis Achim.Zeileis at uibk.ac.at
Sun Oct 14 10:00:08 CEST 2012

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:

data("CigarettesB", package = "AER")
cig_lm2 <- lm(packs ~ price + income, data = CigarettesB)
   ~ income * price + I(income^2) + I(price^2),
   data = CigarettesB)


> Best regards,
> Afrae Hassouni
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