In estimating the regression in problem #2, you are also concerned that the t-statistics may be inflated because of the presence of conditional heteroscedasticity. There are 214 observations and 3 independent variables.
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- ) In estimating the regression in problem #2, you are also concerned that the t-statistics may be inflated because of the presence of conditional heteroscedasticity. There are 214 observations and 3 independent variables.
You conduct a regression of the squared residuals against the dummy variables X1, X2, and X3 and find that for the squared residuals regression:
|
Multiple R |
0.4145 |
|
R Square |
0.1718 |
|
Adjusted R Square |
0.1600 |
|
SEE |
92.3760 |
- Conduct a Breusch–Pagan test at the 0.05 level to see if conditional heteroskedasticity is present and from your results, what needs to be done?
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