The Breusch-Pagan LM Test for heteroskedasticity
Posted: 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?