BPTest (Breusch-Pagan LM test for random effects)

[EViews Gareth]

This thread is about the BPTest Add-in that calculates the Breusch-Pagan LM test for random effects.

Change Log

• 2010/04/16 - Initial Release
• 2010/04/28 - Fixed documentation file name
• 2010/08/16 - Fix for unbalanced panels / equations that don't use every cross-section in the panel
• 2010/11/02 - Added an error message to indicate that the equation should be estimated without cross-section effects prior to running the test.
• 2010/11/24 - Added Honda (1985), King and Wu (1997), SLM (Moulton and Randolph, 1989), GHM (Gourierouxet al., 1982) LM tests.
• 2012/05/10 - Edited the BPtest documentation; Added a command for exclusion of tests.
• 2012/09/26 - Minor changes made.

[EViews Gareth]

The documentation file in this add-in had the wrong name. That has now been fixed.

[y.khairulin]

Hi guys,

I've just installed the LM test for Random Effects add-in .
When I run this add-in from equation object (Proc->Add-ins->Breusch-Pagan Random Effects LM test) it returns an error saying: Log or square root of negative number.
I do not understand where the problem may come from, any advice?

Thanks.

[y.khairulin]

Btw, I'm using 7th version of Eviews

[EViews Gareth]

Could you post your workfile with the equation in question?

[y.khairulin]

Hi,

Please find attached the workfile with equation.

Thanks.

[EViews Gareth]

There's something odd about that equation. Did you copy it from another workfile, or add data to the workfile after estimating it?

It is no longer estimatable.

[y.khairulin]

I resampled it and included less periods due to large size of the file.

This is the workfile for the full sample, I used 7zip to compress, hope this works.

Btw, thx for the fast reply.

[ralf]

Hi, I have the same problem, is there already a solution? Thanks, Ralf

[EViews Gareth]

Working on it...

The way it is currently calculating things will only work on panel equations that use every cross-section in the workfile. I'm trying to figure out how to get it to work on equations that only use some cross-sections.

[EViews Gareth]

Try re-downloading the add-in. I think this one should work (for you both?)

[y.khairulin]

Thanks for your help in resolving this problem Gareth.
Everything works fine.

[ralf]

Yes, it's working. Thanks!

[EViews Gareth]

Great.

[EViews Esther]

[Updates in the BPtest add-in]

(1) Added Honda (1985), King and Wu (1997), SLM (Moulton and Randolph, 1989), GHM (Gourierouxet al., 1982) LM tests.
(2) Considered either joint test for both cross-section and period effects or one-sided test for one effect.