- Consider A Test For The Presence Of Heteroscedasticity Using The Specification Estimated In 1 2 Which Of The Follow 1 (61.03 KiB) Viewed 37 times
specification estimated in (1)-(2). Which of the following
statements are valid?
a.
We reject H subscript 0 space colon space alpha subscript 0 space
equals space 0 in favour of H subscript 1 space colon space alpha
subscript 0 space not equal to space 0 at the 5% significance
level, where alpha subscript 0 is the intercept in (2), and
conclude there is evidence of leverage effects.
b.
We fail to reject H subscript 0 space colon space alpha subscript 1
space equals space 0 in favour of H subscript 1 space colon space
alpha subscript 1 space not equal to space 0 at the 5% significance
level, where alpha subscript 1 is the coefficient on epsilon
subscript t minus 1 end subscript superscript 2 in (2), and
conclude there is evidence of no leverage effects.
c.
We reject the H subscript 0 space colon space lambda subscript 1
space equals space 0 in favour of H subscript 1 space colon space
lambda subscript 1 space greater than space 0 at the 5%
significance level, where lambda subscript 1 is the coefficient on
delta subscript t minus 1 end subscript epsilon subscript t minus 1
end subscript superscript 2 in (2), and conclude there is evidence
of leverage effects.
d.
None of the above.
Consider a test for the presence of heteroscedasticity using the specification estimated in (1)-(2). Which of the following statements are valid? a. We reject Ho a = 0) in favour of 0 H₁: a 0 at the 5% significance 0 level, where a is the intercept in (2), 0 and conclude there is evidence of heteroscedasticity. b. 1 We fail to reject Ho α = 0 in favour of H₁: a, # 0 at the 5% significance level, where a, is the coefficient on 2 in (2), and conclude there is evidence of homoscedasticity. = 0) in favour We reject the H: ₁: of H₁: A₁ > 0 at the 5% 1 is the significance level, where >₁ coefficient on S 2 in (2), and 1-1 1-1 conclude there is evidence of heteroscedasticity. None of the above. C. d.