On the inconsistency of the Breusch-Pagan test

Asad Zaman

MPRA Paper from University Library of Munich, Germany

Abstract: The Breusch-Pagan Lagrange Multiplier test for heteroskedascity is supposedly able to detect heteroskedasticity which is an arbitrary function of some set of regressors. We will show that in fact it detects only linear functions. The test is inconsistent for general alternatives, in the sense that its power does not go to 1 as the sample size increases (and in fact, can be arbitrarily low). Since in fact the Breusch-Pagan test is essentially an F test in a special model, we also give necessary and sufficient conditions for the consistency of the F test under misspecification.

Keywords: heteroskedasticity; Breusch-Pagan test; test consistency; F test (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 1995-04
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Published in Journal of Economic and Social Research 2.1(2000): pp. 1-11

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