A Simple Test for Heteroscedasticity and Random Coefficient Variation

Trevor Breusch; A. R. Pagan · Econometrica · 1979

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Author / responsible party

Trevor Breusch; A. R. Pagan

Publisher

Econometrica

Year

1979

Language

English

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A simple test for heteroscedastic disturbances in a linear regression model is developed using the framework of the Lagrangian multiplier test. For a wide range of heteroscedastic and random coefficient specifications, the criterion is given as a readily computed function of the OLS residuals. Some finite sample evidence is presented to supplement the general asymptotic properties of Lagrangian multiplier tests.

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APA 7

Breusch, T. & Pagan, A. R. (1979). A Simple Test for Heteroscedasticity and Random Coefficient Variation. https://doi.org/10.2307/1911963

MLA

Breusch, Trevor, and A. R. Pagan. "A Simple Test for Heteroscedasticity and Random Coefficient Variation." 1979. https://doi.org/10.2307/1911963.

Chicago

Breusch, Trevor and A. R. Pagan. 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation.". https://doi.org/10.2307/1911963.

Harvard

Breusch, T. and Pagan, A. R. 1979, A Simple Test for Heteroscedasticity and Random Coefficient Variation, Econometrica, available at: https://doi.org/10.2307/1911963 [Accessed 8 Aug. 2026].

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Resource details

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Title: A Simple Test for Heteroscedasticity and Random Coefficient Variation

Author / contributors: Trevor Breusch; A. R. Pagan

Publisher: Econometrica

Publication year: 1979

Language: English

Subjects

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Heteroscedasticity; Statistics; Mathematics; Coefficient of variation; Simple (philosophy); Econometrics; Test (biology); Variation (astronomy); Simple random sample; Demography; Physics; Geology