Re: [R] Heteroskedasticity test

From: Achim Zeileis <Achim.Zeileis_at_wu-wien.ac.at>
Date: Sat 30 Sep 2006 - 12:25:29 GMT

On Fri, 29 Sep 2006, Alberto Monteiro wrote:

> Is there any heteroskedasticity test in the package? Something
> that would flag a sample like
>
> x <- c(rnorm(1000), rnorm(1000, 0, 1.2))

The package lmtest contains several tests for heteroskedasticity, in particular the Breusch-Pagan test (and also the Goldfeld-Quandt test for known change point). Furthermore, some of the structural change tests in strucchange can be used to test for non-constant variances, e.g, the Nyblom-Hansen test.
Z

> Alberto Monteiro
>
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>
>



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Sat Sep 30 22:28:57 2006

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