I have problems interpreting the Breusch Pagan Godfrey test for heteroskedasticity. I read the user guide but do not understand their interpretation:
The Null Hypothesis states that no heteroskedasticity exists (= homoskedasticity exists).
On the bottom of the user guide they have an example with the following result:
The user guide states:
This output contains both the set of test statistics, and the results of the auxiliary regression on which they are based. All three statistics reject the null hypothesis of homoskedasticity.
However, the Prob (F-Statistic) and Prob (Chi-Square) are both 0 and the Null Hypothesis should therefore not be rejected (=no heteroskedasticity exists). Why do they reject the null hypothesis?
Reviewing my data, I received the following results:
Usually, I would reject the null hypothesis (as all values above 0,05) but is this correct? Where is the mistake?
I am grateful for any help!
Thank you very much,