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

question 18

Multiple Choice

The LM (Lagrange Multiplier) test generates a test statistic N * R² ~ $\chi$ 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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