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Suppose we estimate the regression Yt = β1 + β2X2t + β3X3t + ut using 40...

Suppose we estimate the regression Yt = β1 + β2X2t + β3X3t + ut using 40 months of data. Using the residuals from this regression, we run another regression of  on the X2, X3, their squares and cross-products . From this regression we get a coefficient of determination R2 of 0.31. Let H0 be that there is no heteroscedasticity. What can you conclude?

  • A.

    We cannot conclude that there is heteroscedasticity at a level of significance of 5%.

  • B.

    Unable to reject the null hypothesis of no heteroscedasticity at a level of significance of 1%.

  • C.

    Reject the null hypothesis of no heteroscedasticity at a level of significance of 1%.

  • D.

    We conclude that there is heteroscedasticity at a level of significance of 5%.

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