NO.PZ2023040502000017
问题如下：
You
are a junior analyst at an asset management firm. Your supervisor asks you to analyze
the return drivers for one of the firm’s portfolios.
Model 3: RETi = b0 + bMRKTMRKTi
+ bHMLHMLi + bVIXVIXi + bSMBSMBi
+ bMOMMOMi + εi.
Your supervisor is concerned about conditional
heteroskedasticity in Model 3 and asks you to perform the Breusch–Pagan (BP)
test. At a 5% confidence level, the BP critical value is 11.07. You run the
regression for the BP test; the results are shown in Exhibit 1.
Calculate the BP test statistic using the data in Exhibit
1 and determine whether there is evidence of heteroskedasticity.
选项：
A.1.264, so there is no evidence of heteroskedasticity
6.251, so there is no evidence of heteroskedasticity
81.792, so there is evidence of heteroskedasticity
解释：
B is correct. The BP test statistic is calculated as
nR2, where n is the number of observations and R2 is from
the regression for the BP test. So, the BP test statistic= 96 × 0.06511 =
6.251. This is less than the critical value of 11.07, so we cannot reject the
null hypothesis of no heteroskedasticity. Thus, there is no evidence of heteroskedasticity.
助教你好。我发现几个module的经典题讲解差两个部分，分别是： multiple regression assumption violation: heteroskedasticity 和 multiple regression assumption violation: serial correlation
