statsmodels/statsmodels — Issue #129: BUG: het_white has incorrect results
Author: josef-pkt
Created: 2011-12-24 02:17:09+00:00
State: open
Labels: comp-stats, type-bug

I squared the y variable twice instead of once, and the results of the test are wrong. After dropping one square, it produces the same test statistic as Greene 5th, Example 11.3 Testing for heteroscedasticity with ccard example.

Goldfeldt Quandt agrees, Breush-Pagan test agrees with the Koenker and Bassett variant of the test, not the original.

fixed on my computer