Solved

The LM (Lagrange Multiplier)test Generates a Test Statistic N χ\chi 2(S-1)

Question 15

Multiple Choice

The LM (Lagrange Multiplier) test generates a test statistic N * R2 ~ χ\chi 2(S-1) .Where is the R2 in the test statistic measured?


A) the original econometric model when estimated using the White correction technique
B) the average from all the auxiliary regressions estimated with each explanatory variable as a function of the other explanatory variables
C) the original econometric model before any test of heteroskedasticity has been performed
D) the auxiliary regression of residuals as a function of the explanatory variables generating the heteroskedasticity

Correct Answer:

verifed

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Related Questions

Unlock this Answer For Free Now!

View this answer and more for free by performing one of the following actions

qr-code

Scan the QR code to install the App and get 2 free unlocks

upload documents

Unlock quizzes for free by uploading documents