- CFA Exams
- CFA Level I Exam
- Topic 1. Quantitative Methods
- Learning Module 3. Model Misspecification
- Subject 2. Heteroskedasticity
CFA Practice Question
What test statistic should an analyst use to test for conditional heteroskedasticity in a Breusch-Pagan test?
Correct Answer: n x R2.
User Contributed Comments 2
| User | Comment |
|---|---|
| danlan2 | It is Chi-square. |
| ericczhang | The distribution of that statistic is Chi-square, not the test... |