这个题考察的是什么知识点

问题如下：

In a model with a single explanatory variable, what value of the R² in the second step in a test for heteroskedasticity indicates that the null would be rejected for sample sizes of 100 ? (Hint: Look up the critical values of a where q is the number of restrictions in the test. The critical value is 5.99.)

选项：

A.

0.025

B.

0.011

C.

0.0599

D.

0.0023

解释：

When there is a single explanatory variable in the original model, the auxiliary regression used for White’s test will have an intercept and two explanatory variables—the original variable and the variable squared.

White’s test statistic is n*R², and the null has a distribution. When using a test with a 5% size, the critical value is 5.99.

Solving for the R² :

R² ≤ 5.99/n,

The maximum value of R2 that would not reject is 0.0599 when n is 100.