The MODEL procedure might produce incorrect degrees of freedom and p-values for the White or Breusch-Pagan test when the number of regressors is large


The reported degree of freedom for the White test or the Breusch-Pagan test is too small when the following conditions are met in PROC MODEL:

The corresponding p-values for these tests are also incorrect. However, the test statistics for both the White test and the Breusch-Pagan test are correct.

To avoid the problem, use PROC TMODEL instead of PROC MODEL.