The Breusch-Pagan LM Test for heteroskedasticity

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larchalr14
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Joined: Tue Apr 05, 2016 1:34 pm

The Breusch-Pagan LM Test for heteroskedasticity

Postby larchalr14 » Mon Apr 18, 2016 4:08 pm

I have panel data estimated using GMM. Can I run the Breusch-Pagan LM test? If so how do I go about doing it. I found an example of it in a book, but I don't understand how to do it in practice. Do I have to estimate my data is OLS and not GMM?
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