Consider the regression model . A researcher wants to conduct White's heteroscedasticity test using the residuals from an estimation of this equation. What would be the most appropriate form for the auxiliary regression?
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Consider the regression model yᵢ = α₀ + α₁ x₁ᵢ + α₂ x₂ᵢ + uᵢ. A researcher wants to conduct White's heteroscedasticity test using the residuals from an estimation of this equation. What would be the most appropriate form for the auxiliary regression? (A) uᵢ² = γ₀ + γ₁ x₁ᵢ + γ₂ x₂ᵢ + γ₃ x₁ᵢ² + γ₄ x₂ᵢ² + γ₅ x₁ᵢx₂ᵢ + νᵢ (B) uᵢ² = γ₀ + γ₁ uᵢ₋₁ + νᵢ (C) uᵢ² = γ₀ + γ₁ x₁ᵢ + γ₂ x₂ᵢ + γ₃ x₁ᵢ² + γ₄ x₂ᵢ² + νᵢ (D) uᵢ = γ₀ + γ₁ uᵢ₋₁ + νᵢ
Also written as: Consider the regression model y_i = alpha_0 + alpha_1 x_(1i) + alpha_2 x_(2i) + u_i. A researcher wants to conduct White's heteroscedasticity test using the residuals from an estimation of this equation. What would be the most appropriate form for the auxiliary regression?
Classical assumptions and their violations has come up 26 times in 7 exams since 2011.
This question is on Heteroscedasticity, part of Classical assumptions and their violations in Econometrics.
Unequal error variance: causes, consequences for OLS, tests and remedies.
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