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The LM (Lagrange Multiplier)test Generates a Test Statistic N χ\chi 2(S-1)

Question 18

Multiple Choice

The LM (Lagrange Multiplier) test generates a test statistic N * R2 ~ χ\chi 2(S-1) .Where is the R2 in the test statistic measured?


A) the original econometric model when estimated using the White correction technique
B) the average from all the auxiliary regressions estimated with each explanatory variable as a function of the other explanatory variables
C) the original econometric model before any test of heteroskedasticity has been performed
D) the auxiliary regression of residuals as a function of the explanatory variables generating the heteroskedasticity

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