heteroskedasticity

Perform the Breusch-Pagan and White tests for heteroskedasticity.

Heteroskedasticity - non-constant variance of the regression residuals - violates a key OLS assumption and makes standard errors unreliable. The Breusch-Pagan test detects linear forms; the White test additionally captures non-linear forms.

Examples

from openbb import obb
obb.econometrics.heteroskedasticity(y_column='close', x_columns=['open', 'high', 'low'], data=[{'date': '2023-01-02', 'open': 110.0, 'high': 120.0, 'low': 100.0, 'close': 115.0, 'volume': 10000.0}, {'date': '2023-01-03', 'open': 165.0, 'high': 180.0, 'low': 150.0, 'close': 172.5, 'volume': 15000.0}, {'date': '2023-01-04', 'open': 146.67, 'high': 160.0, 'low': 133.33, 'close': 153.33, 'volume': 13333.33}, {'date': '2023-01-05', 'open': 137.5, 'high': 150.0, 'low': 125.0, 'close': 143.75, 'volume': 12500.0}, {'date': '2023-01-06', 'open': 132.0, 'high': 144.0, 'low': 120.0, 'close': 138.0, 'volume': 12000.0}])

Parameters

• standard

data: Data | DataFrame | Series | dict | list | list[DataFrame] | list[Data] | list[Series] | ndarray
Input dataset.

y_column: str
Name of the dependent (target) column.

x_columns: list[str]
Names of the independent (exogenous) columns.

robust: bool
Default: True
Use the robust (studentized Koenker) Breusch-Pagan variant, which does not assume normally distributed residuals.

---

Returns

results: HeteroskedasticityData

Serializable results.

provider: str

Provider name.

warnings: Optional[list[Warning_]]

List of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

---

Data

• standard

breusch_pagan_lm_statistic: float
Breusch-Pagan LM statistic.

breusch_pagan_lm_p_value: float
p-value of the Breusch-Pagan LM statistic.

breusch_pagan_f_statistic: float
Breusch-Pagan F statistic.

breusch_pagan_f_p_value: float
p-value of the Breusch-Pagan F statistic.

white_lm_statistic: float
White LM statistic.

white_lm_p_value: float
p-value of the White LM statistic.

white_f_statistic: float
White F statistic.

white_f_p_value: float
p-value of the White F statistic.