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Suppose We Estimate the Regression Yt = β0 + β1X1t

Question 158

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Suppose we estimate the regression Yt = β0 + β1X1t + β2X2t + β3X3t + β4X4t + εt using 36 months of data.Using the residuals from this regression,we run another regression of Suppose we estimate the regression Y<sub>t</sub> = β<sub>0</sub> + β<sub>1</sub>X<sub>1</sub><sub>t</sub> + β<sub>2</sub>X<sub>2</sub><sub>t</sub><sub> </sub>+ β<sub>3</sub>X<sub>3</sub><sub>t</sub> + β<sub>4</sub>X<sub>4</sub><sub>t</sub> + ε<sub>t</sub> using 36 months of data.Using the residuals from this regression,we run another regression of on the predicted values <sub>t</sub>.From this regression we get a coefficient of determination R<sup>2</sup> of 0.09.Let H<sub>0</sub> be that there is no heteroscedasticity.What can you conclude? A) Reject H<sub>0</sub> at α = 0.05. B) Reject H<sub>0</sub> at α= 0.10. C) Reject H<sub>0</sub> at α = 0.01. D) Unable to reject H<sub>0</sub> at α > 0.10. on the predicted values Suppose we estimate the regression Y<sub>t</sub> = β<sub>0</sub> + β<sub>1</sub>X<sub>1</sub><sub>t</sub> + β<sub>2</sub>X<sub>2</sub><sub>t</sub><sub> </sub>+ β<sub>3</sub>X<sub>3</sub><sub>t</sub> + β<sub>4</sub>X<sub>4</sub><sub>t</sub> + ε<sub>t</sub> using 36 months of data.Using the residuals from this regression,we run another regression of on the predicted values <sub>t</sub>.From this regression we get a coefficient of determination R<sup>2</sup> of 0.09.Let H<sub>0</sub> be that there is no heteroscedasticity.What can you conclude? A) Reject H<sub>0</sub> at α = 0.05. B) Reject H<sub>0</sub> at α= 0.10. C) Reject H<sub>0</sub> at α = 0.01. D) Unable to reject H<sub>0</sub> at α > 0.10.
t.From this regression we get a coefficient of determination R2 of 0.09.Let H0 be that there is no heteroscedasticity.What can you conclude?


A) Reject H0 at α = 0.05.
B) Reject H0 at α= 0.10.
C) Reject H0 at α = 0.01.
D) Unable to reject H0 at α > 0.10.

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