[R] Test for Homoscedesticity in R Without BP Test

Deepak Singh sdeepakrhelp at gmail.com
Mon Apr 4 22:03:59 CEST 2016


I have tried and got the result.
Thank you every one.


On Tue, Apr 5, 2016 at 12:58 AM, Achim Zeileis <Achim.Zeileis at uibk.ac.at>
wrote:

> On Mon, 4 Apr 2016, varin sacha via R-help wrote:
>
> Hi Deepak,
>>
>> In econometrics there is another test very often used : the white test.
>> The white test is based on the comparison of the estimated variances of
>> residuals when the model is estimated by OLS under the assumption of
>> homoscedasticity and when the model is estimated by OLS under the
>> assumption of heteroscedastic.
>>
>
> The White test is a special case of the Breusch-Pagan test using a
> particular specification of the auxiliary regressors: namely all
> regressors, their squares and their cross-products. As this specification
> makes only sense if all regressors are continuous, many implementations
> have problems if there are already dummy variables, interactions, etc. in
> the regressor matrix. This is also the reason why bptest() from "lmtest"
> uses a different specification by default. However, you can utilize the
> function to carry out the White test as illustrated in:
>
> example("CigarettesB", package = "AER")
>
> (Of course, the AER package needs to be installed first.)
>
> The White test with R
>>
>> install.packages("bstats")
>> library(bstats)
>> white.test(LinearModel)
>>
>
> That package is no longer on CRAN as it took the code from bptest()
> without crediting its original authors and released it in a package that
> conflicted with the original license. Also, the implementation did not
> check for potential problems with dummy variables or interactions mentioned
> above.
>
> So the bptest() implementation from "lmtest" is really recommend. Or
> alternatively ncvTest() from package "car".
>
>
> Hope this helps.
>>
>> Sacha
>>
>>
>>
>>
>>
>> ________________________________
>> De : Deepak Singh <sdeepakrhelp at gmail.com>
>> À : r-help at r-project.org Envoyé le : Lundi 4 avril 2016 10h40
>> Objet : [R] Test for Homoscedesticity in R Without BP Test
>>
>>
>> Respected Sir,
>> I am doing a project on multiple linear model fitting and in that project
>> I
>> have to test Homoscedesticity of errors I have google for the same and
>> found bptest for the same but in R version 3.2.4 bp test is not available.
>> So please suggest me a test on homoscedesticity ASAP as we have to submit
>> our report on 7-04-2016.
>>
>> P.S. : I have plotted residuals against fitted values and it is less or
>> more random.
>>
>> Thank You !
>>
>>    [[alternative HTML version deleted]]
>>
>> ______________________________________________
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>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>> ______________________________________________
>> R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>
>

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