Breusch-Pagan Test in R – Interpretation Guide for Hypothesis Testing

heteroscedasticityhypothesis testingr

I am a little confused regarding the interpretation of the Breusch-Pagan bptest () test in R. Thus, a p-value below 5% would mean that homoskedasticity is present and thus in turn reject null hypothesis. If, on the other hand, I have a p-value greater than 5% I have heteroskedasticity so I accept my hypothesis.
In my case after bptest () I have:

So in this case there is no heteroskedasticity right?

BP = 3.8463, df = 4, p-value = 0.4272 ```



 

Best Answer

To check the presence or absence of heteroskedasticity you should use not only one test. There are many other tests (e.g. White test, F test etc.) and also use plots to check the gls assumption (e.g. “fitted-values” plot etc.).

The accurate and comprehensive analysis contains multiple number of procedures. If at least one test or plot shows that there is the presence of heteroskedasticity, then you should reject the null hypothesis.

Particularly, regarding R, you should check the documentation or other sources. E.g.: https://www.statology.org/breusch-pagan-test-r/