bptest                package:lmtest                R Documentation

_B_r_e_u_s_c_h-_P_a_g_a_n-_T_e_s_t

_D_e_s_c_r_i_p_t_i_o_n:

     `bptest' performs the Breusch-Pagan-Test against
     heteroskedasticity.

_U_s_a_g_e:

     bptest(formula, data=list())

_A_r_g_u_m_e_n_t_s:

 formula: a symbolic describtion for the model to be tested

    data: an optional data frame containing the variables in the model.
          By default the variables are taken from the environment which
          'bptest' is called from

_D_e_t_a_i_l_s:

     The test statistic under H0 follows a chisq distribution with df
     degree of freedom.

_V_a_l_u_e:

     A list with class `"htest"' containing the following components: 

statistic: the value of the test statistic.

 p.value: the p-value of the test.

  method: a character string indicating what type of test was
          performed.

data.name: a character string giving the name(s) of the data.

_A_u_t_h_o_r(_s):

     Torsten Hothorn <Torsten.Hothorn@rzmail.uni-erlangen.de>

_R_e_f_e_r_e_n_c_e_s:

     Kraemer, W., Sonnberger, H. (1986): The linear regression model
     under test

_S_e_e _A_l_s_o:

     `lm'

_E_x_a_m_p_l_e_s:

     # generate a regressor;
     x <- sort(runif(50,-10,10));
     # generate heteroskedastic disturbances
     err <- c(rnorm(25,0,1),rnorm(25,0,10));
     # generate a linear relationship
     y <- 2*x + err;
     # perform Breusch-Pagan
     bp <- bptest(y~x-1);
     # calculate quantil
     qchisq(0.95, bp$parameter[1]);

