Suppose you conduct the modified White’s Test. You estimate the regression with the squared residuals as the dependent variable and predicted values and predicted values squared as independent variables. From the regression results, you get the F-statistic is 0.353 with a p-value of 0.414. At a Level of Significance of 5%, what does the modified White’s Test say about the Linear Regression?
Group of answer choices
Heteroskedasticity is unlikely to be a problem with the Linear Regression
Heteroskedasticity is likely to be a problem with the Linear Regression
The coefficients of the Linear Regression are likely biased
The Linear Regression doesn’t have a good Goodness-of-Fit
P-value rule for a two-tailed test:--
if the p-value is less than the alpha/2 then reject the null hypothesis
if the p-value is greater than the alpha/2 then fail to reject the null hypothesis
H0: no heteroscedastic
Ha: heteroscedastic
here, p-value = 0.414
alpha/2 = 5%/2 = 0.05/2 = 0.025
0.414 > 0.025
=> p-value > alpha/2
=> fail to reject null hypothesis
hence no heteroscedastic
hence correct option is A i.e. Heteroskedasticity is unlikely to be a problem with the Linear Regression
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