Financial Risk Manager Part 1
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White (1980) proposes a simple test for heteroskedasticity, known as the White test. Which of the following statements correctly describes the procedures of the White test?
White (1980) proposes a simple test for heteroskedasticity, known as the White test. Which of the following statements correctly describes the procedures of the White test?
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A
The White test first estimates the model and compute the residuals. It then regresses the residuals on a constant and all explanatory variables.
B
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