- CFA Exams
- CFA Exam: Level II 2021
- Study Session 2. Quantitative Methods (1)
- Reading 5. Multiple Regression
- Subject 10. 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... |