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Consider the following linear regression model: yi=β1+β2x2i+β3x3i+ei σ2i=α1+α2x2i+α3x22i What is the form of the auxiliary regression...

Consider the following linear regression model:

yi=β1+β2x2i+β3x3i+ei

σ2i=α1+α2x2i+α3x22i

What is the form of the auxiliary regression of the LM test for heteroskedasticity?

Select one:

a. ^e2i=α1+α2x2i+α3x22i

b. ^e2i=α1+α2x2i

c. ^e2i=α1+α2x2i+α3x3i

d. ^e2i=α1+α2x22i

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Answer #1

Ans (c)

In the step 2, we are given the auxiliary regression we need to run for the LM rest of hetrescadasticity

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