NO.PZ2023091601000131
问题如下：
A risk manager at Firm SPC
is testing a portfolio for heteroskedasticity using the White test. The
portfolio is modeled as follows:
The residuals are computed as follows:
Which
of the following correctly depicts the second step in the White test for the
portfolio?
选项：
A.
解释：
The second step in the White test is to regress the
squared residuals on a constant, on all explanatory variables, and on the cross
product of all explanatory variables.
B is incorrect. It is missing the constant.
C is incorrect. It is missing the cross-product.
D is incorrect. It is missing the explanatory variable.
如题
