The score test for non-constant variance, Section 7.2.2, is available as an option in many standard regression packages. If not available, it can be computed using the following prescription. Suppose...

The score test for non-constant variance, Section 7.2.2, is available as an option in many standard regression packages. If not available, it can be computed using the following prescription. Suppose X represents the regressors in the mean function and Z the regressors in the variance function (7.12).

1. Assume λ = 0 and use ols to fit with the mean function E(Y|X = x) = β′x. Save the residuals eˆi and the residual sum of squares RSS.

2. Compute scaled squared residuals
  We combine the ui into a regressor U.