Quoting almost directly from the Stata manual: The Breusch and Pagan (1980) chi-squared statistic -- a Lagrange multiplier statistic -- is given by
l = T * [Sm=1m=M [Sn=1n=m-1 [rmn2 ]]
where rmn2 is the estimated correlation between the residuals of the M equations and T is the number of observations. It has a chi-squared distribution with M(M-1)/2 degrees of freedom.(Econterms)
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- StataCorp. 1999. Stata statistical software release 6.0 manual, vol 4.
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