A test for heteroskedasticty can be significant if _____.
A)the Breusch-Pagan test results in a large p-value
B)the White test results in a large p-value
C)the functional form of the regression model is misspecified
D)the regression model includes too many independent variables

Question

A test for heteroskedasticty can be significant if _____.​
A)​the Breusch-Pagan test results in a large p-value
B)​the White test results in a large p-value
C)​the functional form of the regression model is misspecified
D)the regression model includes too many independent variables

Quizplus · Accepted Answer

A significant test for heteroskedasticity suggests that the errors in the regression model are not equally distributed, which could be due to a misspecified functional form of the model. The Breusch-Pagan and White tests are commonly used to test for heteroskedasticity and a large p-value in either test suggests homoskedasticity, not heteroskedasticity. The number of independent variables in the model is not directly related to the presence of heteroskedasticity.

A Test for Heteroskedasticty Can Be Significant If _____