Question #85

Reading: Reading 2 Time-Series Analysis

PDF File: Reading 2 Time-Series Analysis.pdf

Page: 41

Status: Unattempted

Correct Answer: A

Part of Context Group: Q85-87 First in Group
Shared Context
- What can be said of the overall explanatory power of the model at the 5% significance? A) The coefficient of determination for the above regression is significantly higher than the standard error of the estimate, and therefore there is value to calendar trading. B) There is value to calendar trading. C) There is no value to calendar trading.
Question
The test mentioned by Jessica is known as the:
Answer Choices:
A. Breusch-Pagan, which is a two-tailed test
B. Breusch-Pagan, which is a one-tailed test
C. Durbin-Watson, which is a two-tailed test
Explanation
The Breusch-Pagan is used to detect conditional heteroskedasticity and it is a one-tailed test. This is because we are only concerned about large values in the residuals coefficient of determination.
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