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Suppose you are estimating the following multiple regression model using 3,200 observations: y=0+1x1+2x2+3x3+4x4+5x5+u After estimating the model with OLS, you propose the following hypothesis: H0:
Suppose you are estimating the following multiple regression model using 3,200 observations: y=0+1x1+2x2+3x3+4x4+5x5+u After estimating the model with OLS, you propose the following hypothesis: H0: x5=0 , x4=0 , x3=0 . You would like to test this hypothesis with an LM test; however, you are unsure whether the model suffers from heteroskedasticity. Outline the steps needed to obtain a heteroskedasticity-robust LM statistic to test these restrictions
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