Robust and efficient Breusch-Pagan test-statistic: an application of the beta-score Lagrange multipliers test for non-identically distributed individuals
稳健且兼顾效率的 Breusch–Pagan 检验:β 得分 LM 方法
In Econometrics, the Breusch-Pagan test-statistic has become an iconic application of the Lagrange multipliers (LM) test. We shall introduce beta-score LM tests for heteroscedasticity in linear regression models, which trades-off the degree of robustness and efficiency is through a tuning parameter beta>=0, being beta =0 the classical Breusch-Pagan test-statistic, the most efficient one under absence of outliers. A very elegant expression is obtained, with an appealing least…