Score Test for heteroskedasticity

Test for heteroskedasticity under the assumption that the errors are independent and identically distributed (i.i.d.).

score_test(model, fitted_values = TRUE, rhs = FALSE, vars = NULL)

Arguments

model

an object of class lm

fitted_values

logical; if TRUE, use fitted values of regression model

rhs

logical; if TRUE, specifies that tests for heteroskedasticity be performed for the right-hand-side (explanatory) variables of the fitted regression model

vars

variables to be used for for heteroskedasticity test

Value

score_test returns an object of class "score_test". An object of class "score_test" is a list containing the following components:

References

Breusch, T. S. and Pagan, A. R. (1979) A simple test for heteroscedasticity and random coefficient variation. Econometrica 47, 1287�1294.

Cook, R. D. and Weisberg, S. (1983) Diagnostics for heteroscedasticity in regression. Biometrika 70, 1�10.

Koenker, R. 1981. A note on studentizing a test for heteroskedasticity. Journal of Econometrics 17: 107�112.

Examples

model <- lm(mpg ~ disp + hp + wt, data = mtcars)
score_test(model)
#> 
#>  Score Test for Heteroskedasticity
#>  ---------------------------------
#>  Ho: Variance is homogenous
#>  Ha: Variance is not homogenous
#> 
#>  Variables: fitted values of mpg 
#> 
#>       Test Summary       
#>  ------------------------
#>  DF            =    1 
#>  Chi2          =    0.645 
#>  Prob > Chi2   =    0.422