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In R, I did the Whites' test (aka. Brush Pegan Test). I found the p-value is different. Can you please have a look and check if there is a mistake in my code.
using HypothesisTests
functionBPTest(container::FrequentistRegression, data::DataFrame)
fm_frame =ModelFrame(container.formula, data);
X=modelmatrix(fm_frame)
e =residuals(container)
BP_Test1 =WhiteTest(X,e);
return(BP_Test1);
end
BP_tst =BPTest(mod1,train_df)
White's (or Breusch-Pagan's) test for heteroskedasticity
--------------------------------------------------------
Population details:
parameter of interest: T*R2
value under h_0:0
point estimate:8.73554
Test summary:
outcome with 95% confidence: fail to reject h_0
one-sided p-value:0.4620
Details:
T*R^2 statistic:8.73554
degrees of freedom:9
type: White
pvalue(BP_tst)
0.46203539153321815
The text was updated successfully, but these errors were encountered:
Hi
In
R
, I did the Whites' test (aka. Brush Pegan Test). I found the p-value is different. Can you please have a look and check if there is a mistake in my code.The
R
-code and outputThe
Julia
code and outputThe text was updated successfully, but these errors were encountered: