Question

21. In the following regression, write the auxiliary regression used in the White test for heteroskedasticity: $y_t = \beta_0 + \beta_1x_{1t} + \beta_2x_{2t} + u_t$ 22. What is the null and alternative hypothesis of the White test of heteroskedas- ticity? 23. If the p-value of the F-test in the auxiliary regression is 0.67, what would be your conclusion? Is there evidence or not of heteroskedasticity and under which significance level? 24. If the p-value of the F-test in the auxiliary regression is 0.02, what would be your conclusion? Is there evidence or not of heteroskedasticity and under which significance level? 25. What is the main disadvantage of the White test for heteroskedasticity? 26. If we know that the variance of the error term can be expressed as: $\text{var} (u_t) = \sigma^2 x_{1t}^2$, how can we modify the original regression $y_t = \beta_0 + \beta_1x_{1t} + \beta_2x_{2t} + u_t$, so that the error term becomes homoscedastic? Write down the new modified regression. 27. What is the name of this approach to correct for heteroskedasticity?

          21. In the following regression, write the auxiliary regression used in the White
test for heteroskedasticity:
$y_t = \beta_0 + \beta_1x_{1t} + \beta_2x_{2t} + u_t$
22. What is the null and alternative hypothesis of the White test of heteroskedas-
ticity?
23. If the p-value of the F-test in the auxiliary regression is 0.67, what would
be your conclusion? Is there evidence or not of heteroskedasticity and under
which significance level?
24. If the p-value of the F-test in the auxiliary regression is 0.02, what would
be your conclusion? Is there evidence or not of heteroskedasticity and under
which significance level?
25. What is the main disadvantage of the White test for heteroskedasticity?
26. If we know that the variance of the error term can be expressed as:
$\text{var} (u_t) = \sigma^2 x_{1t}^2$,
how can we modify the original regression $y_t = \beta_0 + \beta_1x_{1t} + \beta_2x_{2t} + u_t$, so
that the error term becomes homoscedastic? Write down the new modified
regression.
27. What is the name of this approach to correct for heteroskedasticity?

21. In the following regression, write the auxiliary regression used in the White
test for heteroskedasticity:
yt = β0 + β1x1t + β2x2t + ut
22. What is the null and alternative hypothesis of the White test of heteroskedas-
ticity?
23. If the p-value of the F-test in the auxiliary regression is 0.67, what would
be your conclusion? Is there evidence or not of heteroskedasticity and under
which significance level?
24. If the p-value of the F-test in the auxiliary regression is 0.02, what would
be your conclusion? Is there evidence or not of heteroskedasticity and under
which significance level?
25. What is the main disadvantage of the White test for heteroskedasticity?
26. If we know that the variance of the error term can be expressed as:
var (ut) = σ^2 x1t^2,
how can we modify the original regression yt = β0 + β1x1t + β2x2t + ut, so
that the error term becomes homoscedastic? Write down the new modified
regression.
27. What is the name of this approach to correct for heteroskedasticity?

Added by Laurie H.

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