Heteroskedasticity test

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Heteroskedasticity test

Postby Nadiaa » Tue Sep 12, 2017 5:17 pm


I need your guidance. Which test is appropriate to test the heteroskedasticity in the residuals of OLS on larger time series data set. Precisely, which is better option Breusch Pagan Godfrey or White test.

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EViews Mirza
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Joined: Sat Apr 22, 2017 8:23 pm

Re: Heteroskedasticity test

Postby EViews Mirza » Thu Sep 14, 2017 8:17 am

The White test is in many ways a pecial case of the BPG test. Both tests are appropriate, but the BPG allows more flexibility in modelling the nature of heteroscedasticity by explicitly specifying its functional form.

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