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sqtest
2009 Sep 18
1
some irritation with heteroskedasticity testing
...at they produce rather
different results i am somewhat clueless how to deal with it.
Here is what I did:
1. I plotted fitted.values vs residuals and somewhat intuitively
believe, it isn't really increasing...
2. further I ran the following tests
bptest (studentized and non-studentized), gqtest, ncv.test with the
following results:
ncv:
Non-constant Variance Score Test
Variance formula: ~ fitted.values
Chisquare = 13.87429 Df = 1 p = 0.00194580
Goldfeld-Quandt test
data: reg
GQ = 1.7092, df1 = 327, df2 = 327, p-value = 7.93e-07
studentized Breusch-Pagan test
data: reg
BP =...