Suppose that the model (5.2) above has been estimated using 120 observations, and the R 2 from the auxiliary regression (5.3) is 0.234.
The test statistic will be given by TR 2 = 120 × 0.234 = 28.8, which will follow a χ
2 (5) under the null hypothesis. The 5% critical value from the χ
2 table is 11.07. The test statistic is therefore more than the critical value and hence the null hypothesis is rejected. It would be concluded that there is significant evidence of heteroscedasticity, so that it would not be plausible to assume that the variance of the errors is constant in this case.