## What is breusch Pagan Godfrey test?

The Breusch-Pagan-Godfrey test (see Breusch-Pagan, 1979, and Godfrey, 1978) is a Lagrange multiplier test of the null hypothesis of no heteroskedasticity against heteroskedasticity of the form , where is a vector of independent variables.

### How do you test for heteroskedasticity breusch Pagan?

One way to visually detect whether heteroscedasticity is present is to create a plot of the residuals against the fitted values of the regression model. If the residuals become more spread out at higher values in the plot, this is a tell-tale sign that heteroscedasticity is present.

**What is the null hypothesis for breusch Pagan test?**

The null hypothesis for this test is that the error variances are all equal. The alternate hypothesis is that the error variances are not equal. More specifically, as Y increases, the variances increase (or decrease).

**How do you interpret a breusch Pagan p value?**

This is the basis of the Breusch–Pagan test. It is a chi-squared test: the test statistic is distributed nχ2 with k degrees of freedom. If the test statistic has a p-value below an appropriate threshold (e.g. p < 0.05) then the null hypothesis of homoskedasticity is rejected and heteroskedasticity assumed.

## How do you do a breusch Pagan test?

Here’s how to perform a BP test:

- Estimate your model using OLS:
- Obtain the predicted Y values after estimating the model.
- Estimate the auxiliary regression using OLS:
- From this auxiliary regression, retain the R-squared value:
- Calculate the F-statistic or the chi-squared statistic:

### How do you interpret a Breusch Pagan p value?

The Breush-Pagan test creates a statistic that is chi-squared distributed and for your data that statistic=7.18. The p-value is the result of the chi-squared test and (normally) the null hypothesis is rejected for p-value < 0.05. In this case, the null hypothesis is of homoskedasticity and it would be rejected.

**How do you run a breusch Pagan test?**

**What does a breusch Pagan test show?**

Breusch Pagan Test It is used to test for heteroskedasticity in a linear regression model and assumes that the error terms are normally distributed. It tests whether the variance of the errors from a regression is dependent on the values of the independent variables. It is a χ2 test.

## What is a good Breusch Pagan value?

The Breush-Pagan test creates a statistic that is chi-squared distributed and for your data that statistic=7.18. The p-value is the result of the chi-squared test and (normally) the null hypothesis is rejected for p-value < 0.05.

### How do you interpret a Breusch Pagan p-value?

**What does the breusch Pagan test show?**