[R] Heteroskedasticity test

Achim Zeileis Achim.Zeileis at wu-wien.ac.at
Sat Sep 30 14:25:29 CEST 2006

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.

> Alberto Monteiro
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