A Simple Test for Heteroscedasticity and Random Coefficient Variation

1979/09/01 by Trevor Breusch, A. R. Pagan · 6 citations
Mathematics · #Statistical Distribution Estimation and Applications #Statistical Methods and Inference #Advanced Statistical Methods and Models

paper · doi:10.2307/1911963

openalex publication_date 1979/09/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05

Abstract

A simple test for heteroscedastic disturbances in a linear regression model is developed using the framework of the Lagrangian multiplier test. For a wide range of heteroscedastic and random coefficient specifications, the criterion is given as a readily computed function of the OLS residuals. Some finite sample evidence is presented to supplement the general asymptotic properties of Lagrangian multiplier tests.

Citations

• On the Distribution of the Likelihood Ratio

Cited by

• Smoking to your kids gain? Childhood exposure to parental smoking and obesity
• Inward FDI and regional performance in Europe after the Great Recession
• Efficient tests for normality, homoscedasticity and serial independence of regression residuals
• Quantifying Heteroscedasticity in Linear Models Using Quantile LOWESS Intervals
• Orientation towards environmental sustainability in European family versus nonfamily firms: the role of policymaker engagement and incentives
• On a Semiparametric Variance Function Model and a Test for Heteroscedasticity
• Trevor S. Breusch [wikipedia]