Question #139 - Reading 1 Multiple Regression

Reading: Reading 1 Multiple Regression

PDF File: Reading 1 Multiple Regression.pdf

Page: 68

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Shared Context

- In this multiple regression, the F-statistic indicates the: A) deviation of the estimated values from the actual values of the dependent variable. B) degree of correlation between the independent variables. C) the joint significance of the independent variables.

Question

For this question only, assume that the regression of squared residuals on the independent variables has R2 = 11%. At a 5% level of significance, which of the following conclusions is most accurate?

Answer Choices:

A. With a test statistic of 13.53, we can conclude the presence of conditional heteroskedasticity

B. With a test statistic of 0.22, we cannot reject the null hypothesis of no conditional heteroskedasticity

C. Because the critical value is 3.84, we reject the null hypothesis of no conditional heteroskedasticity

Explanation

Chi-square = n × R2 = 123 × 0.11 = 13.53. Critical Chi-square (degree of freedom = k = 2) = 5.99. Because the test statistic exceeds the critical value, we reject the null hypothesis (of no conditional heteroskedasticity).

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