[R] White test

[Achim Zeileis]

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:

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

hth,
Z

> Best regards,
>
> Afrae Hassouni
>
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