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98 lines
4.2 KiB
Markdown
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98 lines
4.2 KiB
Markdown
Vendored
---
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title: bpag
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description: The page provides information on how to use the 'bpag' command to conduct
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the Breusch-Pagan heteroscedasticity test in econometrics. It requires running OLS
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with dependent and independent variables and shows whether there is heteroscedasticity
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in the data.
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keywords:
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- Breusch-Pagan test
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- heteroscedasticity test
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- OLS
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- econometrics
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- bpag command
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- data analysis
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---
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import HeadTitle from '@site/src/components/General/HeadTitle.tsx';
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<HeadTitle title="econometrics /bpag - Reference | OpenBB Terminal Docs" />
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Show Breusch-Pagan heteroscedasticity test results. Needs OLS to be run in advance with independent and dependent variables
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### Usage
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```python
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bpag
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```
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---
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## Parameters
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This command has no parameters
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---
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## Examples
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```python
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2022 Jun 01, 06:29 (🦋) /econometrics/ $ load longley -a ll
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2022 Jun 01, 06:29 (🦋) /econometrics/ $ ols -d ll.totemp -i ll.gnpdefl,ll.gnp,ll.unemp,ll.armed,ll.pop,ll.year
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OLS Regression Results
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=======================================================================================
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Dep. Variable: ll.totemp R-squared (uncentered): 1.000
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Model: OLS Adj. R-squared (uncentered): 1.000
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Method: Least Squares F-statistic: 5.052e+04
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Date: Wed, 01 Jun 2022 Prob (F-statistic): 8.20e-22
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Time: 12:29:44 Log-Likelihood: -117.56
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No. Observations: 16 AIC: 247.1
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Df Residuals: 10 BIC: 251.8
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Df Model: 6
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Covariance Type: nonrobust
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==============================================================================
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coef std err t P|t| [0.025 0.975]
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------------------------------------------------------------------------------
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ll.gnpdefl -52.9936 129.545 -0.409 0.691 -341.638 235.650
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ll.gnp 0.0711 0.030 2.356 0.040 0.004 0.138
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ll.unemp -0.4235 0.418 -1.014 0.335 -1.354 0.507
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ll.armed -0.5726 0.279 -2.052 0.067 -1.194 0.049
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ll.pop -0.4142 0.321 -1.289 0.226 -1.130 0.302
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ll.year 48.4179 17.689 2.737 0.021 9.003 87.832
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==============================================================================
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Omnibus: 1.443 Durbin-Watson: 1.277
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Prob(Omnibus): 0.486 Jarque-Bera (JB): 0.605
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Skew: 0.476 Prob(JB): 0.739
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Kurtosis: 3.031 Cond. No. 4.56e+05
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==============================================================================
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Notes:
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[1] R² is computed without centering (uncentered) since the model does not contain a constant.
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[2] Standard Errors assume that the covariance matrix of the errors is correctly specified.
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[3] The condition number is large, 4.56e+05. This might indicate that there are
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strong multicollinearity or other numerical problems.
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Warnings:
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kurtosistest only valid for n=20 ... continuing anyway, n=16
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2022 Jun 01, 06:30 (🦋) /econometrics/ $ bpag
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Breusch-Pagan heteroscedasticity test
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┏━━━━━━━━━━┳━━━━━━━━━━━━━━━┓
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┃ ┃ Breusch-Pagan ┃
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┡━━━━━━━━━━╇━━━━━━━━━━━━━━━┩
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│ lm-stat │ 7.90 │
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├──────────┼───────────────┤
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│ p-value │ 0.16 │
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├──────────┼───────────────┤
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│ f-stat │ 1.63 │
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├──────────┼───────────────┤
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│ fp-value │ 0.24 │
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└──────────┴───────────────┘
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The result 0.16 indicates the existence of heteroscedasticity. Consider taking the log or a rate for the dependent variable.
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```
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---
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