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Introduction, Reasons and Consequences of Heteroscedasticity

Heteroscedasticity An important assumption of OLS is that the disturbances μi appearing in the population regression function are homoscedastic (Error term have same variance). i.e. The variance of...

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Breusch-Pagan Test for Heteroscedasticity

Breusch–Pagan test (named after Trevor Breusch and Adrian Pagan) is used to test for heteroscedasticity in a linear regression model. Assume our regression model is $Y_i = \beta_1 + \beta_2 X_{2i} +...

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