[R] some irritation with heteroskedasticity testing

Bunny, lautloscrew.com bunny at lautloscrew.com
Fri Sep 18 12:17:41 CEST 2009


Dear all,

Trying to test for heteroskedasticity I tried several test from the  
car package respectively lmtest. Now that they produce rather  
different results i am somewhat clueless how to deal with it.
Here is what I did:

1.  I plotted fitted.values vs residuals and somewhat intuitively  
believe, it isn't really increasing...


2. further I ran the following tests
bptest (studentized and non-studentized), gqtest, ncv.test with the  
following results:

ncv:
Non-constant Variance Score Test
Variance formula: ~ fitted.values
Chisquare = 13.87429    Df = 1     p = 0.00194580

Goldfeld-Quandt test
data:  reg
GQ = 1.7092, df1 = 327, df2 = 327, p-value = 7.93e-07


studentized Breusch-Pagan test
data:  reg
BP = 15.8291, df = 23, p-value = 0.92


Breusch-Pagan test
data:  reg
BP = 377.5604, df = 23, p-value < 2.8e-18


bptest and gq.test sport pretty straight forward examples saying the  
H0 = homoskedasticity. The ncv.test clarifies the same in its  
description. Thus the studentized bptest appears to be the only one to  
support my first intuition from the graphical solution. I am really  
disturbed what to do know and how to interpret my results... Can  
someone lead the way ?

thx in advance

matt




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